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Tempered stable models for Islamic finance asset management

Bekri, Mahmoud; Kim, Young Shin; Račev, Svetlozar T. - In: International journal of Islamic and Middle Eastern … 7 (2014) 1, pp. 37-60

Persistent link: https://www.econbiz.de/10011335135

Backtesting marginal expected shortfall and related systemic risk measures

Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754

Persistent link: https://www.econbiz.de/10012650157

Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements

Fermanian, Jean-David; Scaillet, Olivier - In: Journal of banking & finance 29 (2005) 4, pp. 927-958

Persistent link: https://www.econbiz.de/10002600391

Mean-CoAVaR optimization for global banking portfolios

Kurosaki, Tetsuo; Kim, Young Shin - In: Investment management and financial innovations 10 (2013) 2, pp. 15-20

Persistent link: https://www.econbiz.de/10010201114

Factor copula model for portfolio credit risk

Kim, Sung Ik; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10012652691

Coherent risk measures and normal mixture distributions with applications in portfolio optimization

Shi, Xiang; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012652709

Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation

Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-23

This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) to accommodate fat tails, volatility...

Persistent link: https://www.econbiz.de/10013273511

Aumann-Serrano index of risk in portfolio optimization

Li, Tiantian; Kim, Young Shin; Fan, Qi; Zhu, Fumin - In: Mathematical methods of operations research : ZOR 94 (2021) 2, pp. 197-217

Persistent link: https://www.econbiz.de/10012793510

Foster-Hart optimal portfolios

Anand, Abhinav; Li, Tiantian; Kurosaki, Tetsuo; Kim, … - In: Journal of banking & finance 68 (2016), pp. 117-130

Persistent link: https://www.econbiz.de/10011634807

Foster-Hart optimization for currency portfolios

Kurosaki, Tetsuo; Kim, Young Shin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10012054888