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Value-at-risk analysis for the Tunisian currency market : a comparative study

Ben Rejeb, Aymen; Ben Salha, Ousama; Ben Rejeb, Jaleleddine - In: International journal of economics and financial issues … 2 (2012) 2, pp. 110-125

Persistent link: https://www.econbiz.de/10009579532

Risk and uncertainty in development : a critical evaluation of using the Monte Carlo simulation method as a decision tool in real eastate development projects

Loizou, Pavlos; French, Nick - In: Journal of property investment & finance 30 (2012) 2, pp. 198-210

Persistent link: https://www.econbiz.de/10009559179

Fully flexible extreme views

Meucci, Attilio; Ardia, David; Keel, Simon - In: Journal of risk 14 (2011/12) 2, pp. 39-49

Persistent link: https://www.econbiz.de/10009422362

Individual and flexible expected shortfall backtesting

Righi, Marcelo Brutti; Ceretta, Sergio Paulo - In: The journal of risk model validation 7 (2013) 3, pp. 3-20

Persistent link: https://www.econbiz.de/10010480652

Modellierung des Kapitalwertes von Disease Management Programmen unter Anwendung der Monte-Carlo-Simulation

Busse, Reinhard; Schreyögg, Jonas; Schlösser, Rico - In: Zeitschrift für öffentliche und gemeinwirtschaftliche … 29 (2006) 3, pp. 276-301

Persistent link: https://www.econbiz.de/10003361307

How to calculate an internal rating? : synthesis and proposition for a contingent approach using a Monte Carlo simulation and a rate stochastic model following Poisson's law

Damel, Pascal - In: International journal of business 11 (2006) 2, pp. 121-142

Persistent link: https://www.econbiz.de/10003342000

Monte Carlo simulations versus DCF in real estate portfolio valuation

Baroni, Michel; Barthélémy, Fabrice; Mokrane, Mahdi - 2006

Persistent link: https://www.econbiz.de/10003293371

Exact inference in diagnosing value-at-risk estimates : a Monte Carlo device

Herwartz, Helmut (contributor) - 2008

In this note a Monte Carlo approach is suggested to determine critical values for diagnostic tests of Value-at-Risk models that rely on binary random variables. Monte Carlo testing offers exact significance levels in finite samples. Conditional on exact critical values the dynamic quantile test...

Persistent link: https://www.econbiz.de/10003761111

Estimation and decomposition of downside risk for portfolios with non-normal returns

Boudt, Kris; Peterson, Brian; Croux, Christophe - In: Journal of risk 11 (2008/09) 2, pp. 79-103

Persistent link: https://www.econbiz.de/10003809417

Geschäftsbereichssteuerung auf der Basis des VaR

Kunz, Hendrik - In: Finanz-Betrieb : FB ; Zeitschrift für … 11 (2009) 4, pp. 170-180

Persistent link: https://www.econbiz.de/10003824496

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