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Value at risk für Kreditinstitute : Erfassung des aggregierten Marktrisikopotentials

Meyer, Christoph - 1999

Persistent link: https://www.econbiz.de/10000682592

Modifikation der Verteilungsannahme im Value-at-Risk-Modell

Jödicke, Ralf; Schremper, Ralf - 1999

Persistent link: https://www.econbiz.de/10001404275

Optionsbewertung und Risikomessung mit impliziten Binomialbäumen

Neumann, Marco - 1999

Persistent link: https://www.econbiz.de/10001374429

Correlation under stress in normal variance mixture models

Kalkbrener, Michael; Packham, Natalie - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 426-456

Persistent link: https://www.econbiz.de/10011350602

Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid Mixture of t approximations [QERMit]. As a first step the...

Persistent link: https://www.econbiz.de/10011377096