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The stress-dependent random walk
Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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Theoretical sensitivity analysis for quantitative operational risk management
Kato, Takashi - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-23
Persistent link: https://www.econbiz.de/10011733962
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Principal component value at risk
Brummelhuis, Raymond; Cordóba, Antonio; Quintanilla, Maite - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 541-545
Persistent link: https://www.econbiz.de/10001524229
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Optimal portfolios under the threat of a crash
Korn, Ralf; Wilmott, Paul - In: International journal of theoretical and applied finance 5 (2002) 2, pp. 171-187
Persistent link: https://www.econbiz.de/10001662970
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Drawdown measure in portfolio optimization
Chekhlov, Alexei; Uryasev, Stan; Zabarankin, Michael - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 13-58
Persistent link: https://www.econbiz.de/10002625151
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Coherent portfolio separation - inherent systemic risk?
Framstad, Nils Chr. - In: International journal of theoretical and applied finance 7 (2004) 7, pp. 909-917
Persistent link: https://www.econbiz.de/10002420767
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Value-at-risk and expected shortfall for linear portfolios with elliptically distributed risk factors
Kamdem, Jules Sadefo - In: International journal of theoretical and applied finance 8 (2005) 5, pp. 537-551
Persistent link: https://www.econbiz.de/10003058599
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Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework
Gatheral, Jim; Schied, Alexander - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 353-368
Persistent link: https://www.econbiz.de/10009154914
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Allocating systemic risk in a regulatory perspective
Gouriéroux, Christian; Monfort, Alain - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233265