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Barone-Adesi, Giovanni - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-6

VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest...

Persistent link: https://www.econbiz.de/10011544027

Less disagreement, better forecasts : adjusted risk measures in the energy futures market

Zhang, Ning; Gong, Yujing; Xue, Xiaohan - In: The journal of futures markets 43 (2023) 10, pp. 1332-1372

Persistent link: https://www.econbiz.de/10014339438

Risikomanagement von Preisänderungsrisiken bei börsengehandelten Produkten am Beispiel der Dieselkraftstoffbeschaffung

Unger, Thomas; Wohlbold, Mike - In: Controlling : Zeitschrift für erfolgsorientierte … 27 (2015) 2, pp. 121-128

Persistent link: https://www.econbiz.de/10010484048

Variance reduction for risk measures with importance sampling in nested simulation

Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673

Persistent link: https://www.econbiz.de/10013367849

Value at risk for derivatives

Jahel, Lina El; Perraudin, William R. M.; Sellin, Peter - 1998

Persistent link: https://www.econbiz.de/10001355664

Asymmetric volatility, skewness, and downside risk in different asset classes : evidence from futures markets

Tse, Yiuman - In: The financial review : the official publication of the … 51 (2016) 1, pp. 83-111

Persistent link: https://www.econbiz.de/10011436801

Effectiveness of derivatives regulation in India

Raju, H. Phani; Basu, Sankarshan - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 1, pp. 83-102

Persistent link: https://www.econbiz.de/10011420524

Fixing risk neutral risk measures

Stein, Harvey J. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10011523810

The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems

Chai, Shanglei; Zhou, Peng - In: Energy economics 76 (2018), pp. 64-75

Persistent link: https://www.econbiz.de/10011976584

Discounting, LIBOR, CVA and Funding : Interest Rate and Credit Pricing

Kenyon, Chris; Stamm, Roland - 2012

Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in...

Persistent link: https://www.econbiz.de/10012106344