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A word of caution on calculating market-based minimum capital risk requirements
Brooks, C.; Clare, A.D.; Persand, G. - In: Journal of banking & finance 24 (2000) 10, pp. 1557-1574
Persistent link: https://www.econbiz.de/10005895220
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A Note on Estimating Market-based Minimum Capital Risk Requirements: A Multivariate GARCH Approach
Brooks, C.; Clare, A.D.; Persand, G. - In: The Manchester School 70 (2002) 5, pp. 666-681
Persistent link: https://www.econbiz.de/10007811352
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A comparison of extreme value theory approaches for determining value at risk
Brooks, C.; Clare, A.D.; Dalle Molle, J.W.; Persand, G. - In: Journal of empirical finance 12 (2005) 2, pp. 339
Persistent link: https://www.econbiz.de/10007228384
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Volatility forecasting for risk management
Brooks, Chris; Persand, Gita - In: Journal of forecasting 22 (2003) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10006891183
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RISK MEASUREMENT AND MANAGEMENT - Model Choice and Value-at-Risk Performance - Analysis of methods for determining market-based capital risk requirements raises questions about some commonly used measures of firm risk.
Brooks, Chris; Persand, Gita - In: Financial analysts' journal : FAJ 58 (2002) 5, pp. 87-97
Persistent link: https://www.econbiz.de/10006262180
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The Effect of Asymmetries on Optimal Hedge Ratios
Brooks, Chris; Henry, Olan T.; Persand, Gita - In: The journal of business : B 75 (2002) 2, pp. 333-352
Persistent link: https://www.econbiz.de/10006034660
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Multivariate GARCH models: software choice and estimation issues
Brooks, Chris; Burke, Simon P.; Persand, Gita - In: Journal of applied econometrics 18 (2003) 6, pp. 725
Persistent link: https://www.econbiz.de/10006966133
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Benchmarks and the accuracy of GARCH model estimation
Brooks, Chris; Burke, Simon P.; Persand, Gita - In: International journal of forecasting 17 (2001) 1, pp. 45-56
Persistent link: https://www.econbiz.de/10006980406
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The trading profitability of forecasts of the gilt-equity yield ratio
Brooks, Chris; Persand, Gita - In: International journal of forecasting 17 (2001) 1, pp. 11-30
Persistent link: https://www.econbiz.de/10006980408
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THE PITFALLS OF VAR ESTIMATES - How sample size and weighting method affects the robustness of estimates.
Brooks, Chris; Persand, Gita - In: Risk : managing risk in the world's financial markets 13 (2000) 5, pp. 63-66
Persistent link: https://www.econbiz.de/10007049382