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The journal of fixed income
The journal of risk model validation
Insurance / Mathematics & economics
188
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European journal of operational research : EJOR
97
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74
International journal of theoretical and applied finance
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The North American journal of economics and finance : a journal of financial economics studies
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1
Toward model value-at-risk : bespoke CDO tranches, a case study
Cohort, Pierre
;
Levy dit Vehel, Pierre Emmanuel
; …
- In:
The journal of risk model validation
7
(
2013
)
3
,
pp. 21-34
Persistent link: https://www.econbiz.de/10010480651
Saved in:
2
Bayesian backtesting for counterparty risk models
Zelvyte, Mante
;
Arnsdorf, Matthias
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
Saved in:
3
Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
Saved in:
4
Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa
;
Rigotard, Michael
- In:
The journal of risk model validation
10
(
2016
)
1
,
pp. 47-57
Persistent link: https://www.econbiz.de/10011485151
Saved in:
5
The role of the loss function in value-at-risk comparisons
Abad, Pilar
;
Benito Muela, Sonia
;
López Martin, Carmen
- In:
The journal of risk model validation
9
(
2015
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
Saved in:
6
Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie
;
Westgaard, Sjur
;
Gjølberg, Ole
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
Saved in:
7
Backtesting solvency II value-at-risk models using a rolling horizon
Loois, Miriam
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 13-31
Persistent link: https://www.econbiz.de/10011326311
Saved in:
8
Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model
Gammoudi, Imed
;
El Ghourabi, Mohamed
;
Belkacem, Lotfi
- In:
The journal of risk model validation
10
(
2016
)
3
,
pp. 49-68
Persistent link: https://www.econbiz.de/10011587684
Saved in:
9
Backtesting general spectral risk measures with application to expected shortfall
Costanzino, Nick
;
Curran, Mike
- In:
The journal of risk model validation
9
(
2015
)
1
,
pp. 21-31
Persistent link: https://www.econbiz.de/10010516722
Saved in:
10
A central limit theorem formulation for empirical bootstrap value-at-risk
Mitic, Peter
;
Bloxham, Nicholas
- In:
The journal of risk model validation
12
(
2018
)
1
,
pp. 49-83
Persistent link: https://www.econbiz.de/10011869732
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