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A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents
Drapeau, Samuel; Kupper, Michael; Papapantoleon, Antonis - In: Journal of risk 16 (2013/14) 6, pp. 3-29
Persistent link: https://www.econbiz.de/10010476246
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Pricing to acceptability: With applications to valuation of one's own credit risk
Eberlein, Ernst; Gehrig, Thomas; Madan, Dilip B - In: Journal of risk 15 (2012) 1, pp. 91-91
Persistent link: https://www.econbiz.de/10010027744
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Modeling risk-weighted assets and the risk sensitivity of related capital requirements
Eberlein, Ernst; Madan, Dilip B.; Schoutens, Wim - In: Journal of risk 16 (2013) 2, pp. 3-23
Persistent link: https://www.econbiz.de/10010237932
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Pricing to acceptability : with applications to valuation of one’s own credit risk
Eberlein, Ernst; Gehrig, Thomas; Madan, Dilip B. - In: Journal of risk 15 (2012/13) 1, pp. 91-120
Persistent link: https://www.econbiz.de/10009657963
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On correlating Lévy processes
Eberlein, Ernst; Madan, Dilip B. - In: Journal of risk 13 (2010/11) 1, pp. 3-16
Persistent link: https://www.econbiz.de/10008699159