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Conditional VaR using EVT : towards a planned margin scheme

Bhattacharyya, Malay; Ritolia, Gopal - In: International review of financial analysis 17 (2008) 2, pp. 382-395

Persistent link: https://www.econbiz.de/10003765109

Output and stock prices : new evidence from the robust wavelet approach

Tiwari, Aviral Kumar; Bhattacharyya, Malay; Das, Debojyoti - In: Finance research letters 27 (2018), pp. 154-160

Persistent link: https://www.econbiz.de/10012006838

A network based mechanism for managing decomposable tasks via crowdsourcing

Mridha, Sankar Kumar; Bhattacharyya, Malay - In: Electronic commerce research 18 (2018) 4, pp. 869-881

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How risky are the options? : a comparison with the underlying stock using MaxVaR as a risk measure

Patra, Saswat; Bhattacharyya, Malay - In: Risks : open access journal 8 (2020) 3/76, pp. 1-17

This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures the risk better than Value-at-Risk especially. While VaR is a measure of end-of-horizon risk, MaxVaR captures the interim risk exposure of a position or a portfolio. MaxVaR is...

Persistent link: https://www.econbiz.de/10012293244