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~person:"Račev, Svetlozar T."
~person:"Stahl, Gerhard"
~subject:"Theorie"
~type_genre:"Aufsatz im Buch"
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Račev, Svetlozar T.
Stahl, Gerhard
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Handbook of heavy tailed distributions in finance
5
Kreditrisikomanagement : Kernbereiche, Aufsicht und Entwicklungstendenzen
2
Valuation, financial modeling, and quantitative tools
2
Contributions to modern econometrics : from data analysis to economic policy ; [dedicated to Gerd Hansen on the occasion of his 65th Birthday]
1
Modern finance and risk management : Festschrift in honour of Hermann Locarek-Junge
1
Optimizing optimization : the next generation of optimization applications and theory
1
Risk assessment : decisions in banking and finance
1
Risk management : a modern perspective
1
Risk measurement, econometrics and neural networks : selected articles of the 6th Econometric-Workshop in Karlsruhe, Germany
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Stable non-Gaussian models for credit risk management
Martin, Bernhard
;
Račev, Svetlozar T.
;
Schwartz, Eduardo S.
- In:
Handbook of heavy tailed distributions in finance
,
(pp. 405-441)
.
2003
Persistent link: https://www.econbiz.de/10001882167
Saved in:
2
Mathematical framework for integrating market and credit risk
Kiesel, Rüdiger
;
Liebmann, Thomas
;
Stahl, Gerhard
- In:
Risk management : a modern perspective
,
(pp. 367-389)
.
2006
Persistent link: https://www.econbiz.de/10003271426
Saved in:
3
On the accuracy of VaR estimates based on the variance-covariance approach
Dave, Rakhal D.
- In:
Risk measurement, econometrics and neural networks : …
,
(pp. 189-232)
.
1998
Persistent link: https://www.econbiz.de/10001305354
Saved in:
4
Portfolio selection in the presence of heavy-tailed asset returns
Doganoglu, Toker
;
Mittnik, Stefan
;
Račev, Svetlozar T.
- In:
Contributions to modern econometrics : from data …
,
(pp. 51-64)
.
2002
Persistent link: https://www.econbiz.de/10001905062
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5
Statistical issues in modeling multivariate stable portfolios
Kozubowski, Tomasz J.
;
Panorska, Anna K.
;
Račev, …
- In:
Handbook of heavy tailed distributions in finance
,
(pp. 131-167)
.
2003
Persistent link: https://www.econbiz.de/10001882057
Saved in:
6
Asset liability management : a review and some new results in the presence of heavy tails
Tokat, Yesim
;
Račev, Svetlozar T.
;
Schwartz, Eduardo S.
- In:
Handbook of heavy tailed distributions in finance
,
(pp. 509-546)
.
2003
Persistent link: https://www.econbiz.de/10001882195
Saved in:
7
Portfolio choice theory with non-Gaussian distributed returns
Ortobelli, Sergio
;
Huber, Isabella
;
Račev, Svetlozar T.
; …
- In:
Handbook of heavy tailed distributions in finance
,
(pp. 547-594)
.
2003
Persistent link: https://www.econbiz.de/10001882197
Saved in:
8
Modeling, estimation, and optimization of equity portfolios with heavy-tailed distrbutions
Biglova, Almira
;
Ortobelli, Sergio
;
Račev, Svetlozar T.
; …
- In:
Optimizing optimization : the next generation of …
,
(pp. 117-141)
.
2010
Persistent link: https://www.econbiz.de/10003939075
Saved in:
9
Stable ETL optimal portfolios and extreme risk management
Račev, Svetlozar T.
;
Martin, R. Douglas
;
Racheva, Borjana
- In:
Risk assessment : decisions in banking and finance
,
(pp. 235-262)
.
2008
Persistent link: https://www.econbiz.de/10003781774
Saved in:
10
Risk measures and portfolio selection
Račev, Svetlozar T.
;
Menn, Christian
;
Fabozzi, Frank J.
-
2008
Persistent link: https://www.econbiz.de/10003765462
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