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Burdorf, Tom; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 4, pp. 17-34

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Hands-On Value-at-Risk and expected shortfall : a practical primer

Auer, Martin - 2018

1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS...

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Value at risk models in Indian markets : a predictive ability evaluation study

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VaR/CVaR estimation under stochastic volatility models

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Bayesian estimation of stochastic tail index from high-frequency financial data

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A new unbiased additive robust volatility estimation using extreme values of asset prices

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Measuring liquidity risk in an emerging market : liquidity adjusted value at risk approach for high frequency data

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