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Adapting extreme value statistics to financial time series : dealing with bias and serial dependence
Haan, Laurens de; Mercadier, Cécile; Chen Zhou - In: Finance and stochastics 20 (2016) 2, pp. 321-354
Persistent link: https://www.econbiz.de/10011471063
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Risk bounds for factor models
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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Analytical value-at-risk with jumps and credit risk
Duffie, Darrell; Pan, Jun - In: Finance and stochastics 5 (2001) 2, pp. 155-180
Persistent link: https://www.econbiz.de/10001571486
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On dynamic measures of risk
Cvitanić, Jakša; Karatzas, Ioannis - In: Finance and stochastics 3 (1999) 4, pp. 451-482
Persistent link: https://www.econbiz.de/10001412192
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Using copulae to bound the Value-at-Risk for functions of dependent risks
Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-167
Persistent link: https://www.econbiz.de/10001762730
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The interpolation of options
Mykland, Per A. - In: Finance and stochastics 7 (2003) 4, pp. 417-432
Persistent link: https://www.econbiz.de/10001800674
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Worst case model risk management
Talay, Denis; Zheng, Ziyu - In: Finance and stochastics 6 (2002) 4, pp. 517-537
Persistent link: https://www.econbiz.de/10001702790
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Optimal portfolios when stock prices follow an exponential Lévy process
Emmer, Susanne; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 1, pp. 17-44
Persistent link: https://www.econbiz.de/10001910678
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Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - In: Finance and stochastics 18 (2014) 1, pp. 145-173
Persistent link: https://www.econbiz.de/10010235455
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Comparative and qualitative robustness for law-invariant risk measures
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk - In: Finance and stochastics 18 (2014) 2, pp. 271-295
Persistent link: https://www.econbiz.de/10010340784