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VaR-optimal risk management in regime-switching jump-diffusion models
Ramponi, Alessandro - In: Journal of mathematical finance 3 (2013) 1, pp. 103-109
Persistent link: https://www.econbiz.de/10010240819
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Efficient estimation of distributional tail shape and the extremal index with applications to risk management
Sapp, Travis R. A. - In: Journal of mathematical finance 6 (2016) 4, pp. 626-659
Persistent link: https://www.econbiz.de/10011656984
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Measuring black swans in financial markets
Manhire, J. T. - In: Journal of mathematical finance 8 (2018) 1, pp. 227-239
Persistent link: https://www.econbiz.de/10011846384
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On quantum risk modelling
Kountzakis, Christos E.; Koutsouraki, Maria P. - In: Journal of mathematical finance 6 (2016) 1, pp. 43-47
Persistent link: https://www.econbiz.de/10011543089
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Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates
Omari, Cyprian Ondieki; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 7 (2017) 4, pp. 846-870
Persistent link: https://www.econbiz.de/10011859906
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Asymptotic analysis for spectral risk measures parameterized by confidence level
Kato, Takashi - In: Journal of mathematical finance 8 (2018) 1, pp. 197-226
Persistent link: https://www.econbiz.de/10011846379
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Risk aggregation by using copulas in internal models
Nguyen, Tristan; Molinari, Robert Danilo - In: Journal of mathematical finance 1 (2011) 3, pp. 50-57
Persistent link: https://www.econbiz.de/10009668524
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Risk measures and nonlinear expectations
Chen, Zengjing; He, Kun; Kulperger, Reg - In: Journal of mathematical finance 3 (2013) 3, pp. 383-391
Persistent link: https://www.econbiz.de/10010239533
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The risk in the insurance field : a generalized analysis
Ferrentino, Rosa; Vota, Luca - In: Journal of mathematical finance 10 (2020) 1, pp. 200-221
Persistent link: https://www.econbiz.de/10012545597
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The effects of long memory in price volatility of inventories pledged on portfolio optimization of supply chain finance
Juan, He; Wang, Jian; Xianglin, Jiang - In: Journal of mathematical finance 6 (2016) 1, pp. 134-155
Persistent link: https://www.econbiz.de/10011543832