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Modelling VaR for foreign-asset portfolios in continuous time

Chen, Fen-ying; Liao, Szu-Lang - In: Economic modelling 26 (2009) 1, pp. 234-240

Persistent link: https://www.econbiz.de/10003817081

A comparative study of VaR estimation for structured products

Chen, Fen-ying - In: Economics research international (2010), pp. 1-16

Persistent link: https://www.econbiz.de/10009958135

Modeling value-at-risk for international portfolios in different jump-diffusion processes

Chen, Fen-ying - In: The journal of risk model validation 7 (2013) 2, pp. 93-117

Persistent link: https://www.econbiz.de/10010185312

Value-at-risk forecasts with conditional volatility for structured products

Chen, Fen-ying - In: The journal of risk model validation 5 (2011) 3, pp. 45-69

Persistent link: https://www.econbiz.de/10009911506

A comparative study of VaR estimation for structured products

Chen, Fen-ying - In: Economics research international (2010), pp. 1-16

Persistent link: https://www.econbiz.de/10009317082

Value-at-risk forecasts with conditional volatility for structured products

Chen, Fen-ying - In: The journal of risk model validation 5 (2011) 1, pp. 45-69

Persistent link: https://www.econbiz.de/10009356846

Modeling value-at-risk for international portfolios in different jump-diffusion processes

Chen, Fen-ying - In: The journal of risk model validation 7 (2013) 2, pp. 93-117

Persistent link: https://www.econbiz.de/10009780648

A mathematical model for contingent claim pricing in a preannounced policy

Chen, Fen-Ying - In: Economics Bulletin 29 (2009) 4, pp. 27-27

This paper presents a mathematical model for contingent claim pricing in a preannounced policy. There are some properties in the model. First, one can distinguish the preannouncement effects on the mean and volatility of asset returns. Second, the European call option pricing solution in the...

Persistent link: https://www.econbiz.de/10008562919

Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model

Chen, Fen-Ying; Yang, Sharon S.; Huang, Hong Chih - In: Quantitative finance 21 (2021) 9, pp. 1551-1565

Persistent link: https://www.econbiz.de/10012624157

Modeling pandemic mortality risk and its application to mortality-linked security pricing

Chen, Fen-Ying; Yang, Sharon S.; Huang, Hong Chih - In: Insurance / Mathematics & economics 106 (2022), pp. 341-363

Persistent link: https://www.econbiz.de/10013380614