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Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects
Karlsson, Sune; Skoglund, Jimmy - In: Empirical economics : a journal of the Institute for … 29 (2004) 1, pp. 79-88
Persistent link: https://www.econbiz.de/10006249920
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A mixed approach to risk aggregation using hierarcgucak copulas
Skoglund, Jimmy; Erdman, Donald; Chen, Wei - In: Journal of risk management in financial institutions 6 (2012/13) 2, pp. 188-205
Persistent link: https://www.econbiz.de/10010117308
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An integrated stress testing framework via Markov switching simulation
Chen, Wei; Skoglund, Jimmy - In: The journal of risk model validation 7 (2013) 2, pp. 3-27
Persistent link: https://www.econbiz.de/10010185315
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A credit risk model for large dimensional portfolios with application to economic capital
Nyström, Kaj; Skoglund, Jimmy - In: Journal of banking & finance 30 (2006) 8, pp. 2163-2198
Persistent link: https://www.econbiz.de/10007286061
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Cashflow replication with mismatch constraints
Chen, Wei; Skoglund, Jimmy - In: Journal of risk 14 (2012) 4, pp. 115-115
Persistent link: https://www.econbiz.de/10009993883
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The performance of value-at-risk models during the crisis
Skoglund, Jimmy; Erdman, Donald; Chen, Wei - In: The journal of risk model validation 4 (2010/11) 1, pp. 3-21
Persistent link: https://www.econbiz.de/10009911489
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On the choice of liquidity horizon for incremental risk charges : are the incentives of banks and regulators aligned?
Skoglund, Jimmy; Chen, Wei - In: The journal of risk model validation 5 (2011) 3, pp. 37-57
Persistent link: https://www.econbiz.de/10009911507
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On the time scaling af value-at-risk with trading
Skoglund, Jimmy; Erdman, Donald; Chen, Wei - In: The journal of risk model validation 5 (2011) 3, pp. 17-26
Persistent link: https://www.econbiz.de/10009911509