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VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
Kamdem, Jules Sadefo - In: Annals of finance 8 (2012) 1, pp. 123-150
Persistent link: https://www.econbiz.de/10009510573
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Bank insolvency risk and time-varying Z-score measures
Lepetit, Lætitia; Strobel, Frank - In: Journal of international financial markets, … 25 (2013), pp. 73-87
Persistent link: https://www.econbiz.de/10009762805
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Estimation of tail-related risk measures in the Indian stock market : an extreme value approach
Karmakar, Madhusudan - In: Review of financial economics : RFE 22 (2013) 3, pp. 79-85
Persistent link: https://www.econbiz.de/10010213379
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The Expected Shortfall of quadratic portfolios with heavy-tailed risk factors
Broda, Simon A. - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 710-728
Persistent link: https://www.econbiz.de/10009614939
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Tail nonlinearly transformed risk measure and its application
Chen, Zhiping; Li Yang; Xu, Daobao; Hu, Qianhui - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 817-860
Persistent link: https://www.econbiz.de/10009631526
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Tail comonotonicity : properties, constructions, and asymptotic additivity of risk measures
Hua, Lei; Joe, Harry - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 492-503
Persistent link: https://www.econbiz.de/10009672166
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Unexpected tails in risk measurement : some international evidence
Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493
Persistent link: https://www.econbiz.de/10010404698
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Δ-VaR and Δ-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
Kamdem, J. Sadefo - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 325-336
Persistent link: https://www.econbiz.de/10009517631
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Tail distortion risk and its asymptotic analysis
Zhu, Li; Li, Haijun - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 115-121
Persistent link: https://www.econbiz.de/10009558258
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Risk measures on P(R) and value at risk with probability/loss function
Frittelli, Marco; Maggis, Marco; Peri, Ilaria - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 442-463
Persistent link: https://www.econbiz.de/10010484275