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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Outperforming benchmarks with their derivatives : theory and empirical evidence
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Journal of risk 18 (2015/2016) 4, pp. 25-52
Persistent link: https://www.econbiz.de/10011578371
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Optimal reinsurance with expectile under the Vajda condition
Chen, Yanhong - In: Journal of risk 23 (2020/2021) 1, pp. 113-144
Persistent link: https://www.econbiz.de/10012500128
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Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed; Lauria, Davide; Trindade, A. Alexandre - In: Journal of risk 25 (2022) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
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Counterparty risk allocation
Baule, Rainer - In: Journal of risk 25 (2022) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
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Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - In: Journal of risk 25 (2022) 2, pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
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Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew; Kwon, Roy H. - In: Journal of risk 24 (2021) 2, pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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Are there multiple independent risk anomalies in the cross section of stock returns?
Auer, Benjamin R.; Schuhmacher, Frank - In: Journal of risk 24 (2021) 2, pp. 43-87
Persistent link: https://www.econbiz.de/10013284832
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Portfolio risk forecasting
Braun, Valentin; Hackethal, Andreas - In: Journal of risk 16 (2013/2014) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10013262566
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Modified expected shortfall : a new robust coherent risk measure
Jadhav, Deepak; Ramanathan, T. V.; Naik-Nimbalkar, Uttara - In: Journal of risk 16 (2013/2014) 1, pp. 69-83
Persistent link: https://www.econbiz.de/10013262918