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Conditional value-at-risk appr...
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401
Computational aspects of integrated market and credit portfolio models
Grundke, Peter
- In:
OR spectrum : quantitative approaches in management
29
(
2007
)
2
,
pp. 259-294
Persistent link: https://www.econbiz.de/10003464172
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402
Model risk in finance : some modeling and numerical analysis issues
Talay, Denis
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2009
Persistent link: https://www.econbiz.de/10003826903
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403
Some advanced approaches to VaR calculation and measurement
Racicot, François-Éric
;
Théoret, Raymond
- In:
The VaR implementation handbook
,
(pp. 139-165)
.
2009
Persistent link: https://www.econbiz.de/10003826945
Saved in:
404
Berechnung des Value-at-Risk mit der Monte Carlo Simulation
Linnertová, Dagmar
;
Reuse, Svend
- In:
Controller Magazin : Praxiswissen zur …
34
(
2009
)
3
,
pp. 84-92
Persistent link: https://www.econbiz.de/10003831666
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405
Fat tails, expected shortfall and the Monte Carlo method : a note
Brunner, Michael
;
Piacenza, Fabio
;
Monti, Fabio
; …
- In:
The journal of operational risk
4
(
2009/10
)
1
,
pp. 81-88
Persistent link: https://www.econbiz.de/10003848819
Saved in:
406
Exact inference in diagnosing Value-at-Risk estimates : a Monte Carlo device
Herwartz, Helmut
- In:
Economics letters
103
(
2009
)
3
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pp. 160-162
Persistent link: https://www.econbiz.de/10003854913
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407
A stylised model for extreme shocks : four moments of the apocalypse
Brace, Alan
;
Lauer, Mark
;
Rado, Milo
-
2008
Persistent link: https://www.econbiz.de/10003857123
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408
Tests of time-invariance
Busetti, Fabio
(
contributor
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Harvey, Andrew C.
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003565808
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409
Monte Carlo simulations versus DCF in real estate portfolio valuation
Baroni, Michel
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003305012
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410
Measuring market risk for financial assets with moderate tail fatness : the case of global government bond portfolios
Dimitrakopoulos, Dimitris
;
Spyrou, Spyros I.
- In:
International journal of decision sciences, risk and …
1
(
2009
)
3/4
,
pp. 199-212
Persistent link: https://www.econbiz.de/10003944120
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