create a website

Computational Tools for the Analysis of Market Risk. (2003). .
In: Computational Economics.
RePEc:kap:compec:v:21:y:2003:i:1:p:153-172.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 20

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Artzner, P., Delbaen, F., Eber, J.-M., and Heath, D. (1997). Thinking coherently. Risk, 10(11), 68-71.
    Paper not yet in RePEc: Add citation now
  2. Artzner, P., Delbaen, F., Eber, J.-M., and Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203-228.

  3. Bollerslev, T. (1986). Generalized autoregressive conditional volatility. Journal of Econometrics, 31, 307-327.

  4. Danielsson, J., Hartmann, P., and de Vries, C. (1998). The cost of conservatism. Risk, (January), 101-103.
    Paper not yet in RePEc: Add citation now
  5. Eberlein, E. and Keller, U. (1995). Hyperbolic distributions in finance. Bernoulli, 1, 281-299.
    Paper not yet in RePEc: Add citation now
  6. Embrechts, P., Kluplelberg, C., and Mikosch, T. (1997). Modelling Extremal Events for Insurance and Finance. Springer-Verlag, Berlin.
    Paper not yet in RePEc: Add citation now
  7. Engle, R.F. (1982). Autoregressive conditional heteroskedasticity wity estimates of the variance of U.K. inflation. Econometrica, 50, 987-1008.
    Paper not yet in RePEc: Add citation now
  8. Hamilton, J.D. (1991). A quasi-Bayesian approach to estimating parameters for mixtures of normal distributions. Journal of Business and Economic Statistics, 9(1), 27-39.

  9. Hamilton, J.D. (1994). Time Series Analysis. Princeton University Press, Princeton, NJ.
    Paper not yet in RePEc: Add citation now
  10. Hull, J. and White, A. (1997). Evaluating the impact of kurtosis and skewness on derivative prices. NetExposure, 3, 81-90.
    Paper not yet in RePEc: Add citation now
  11. Hull, J. and White, A. (1998). Value at risk when daily changes in market variables are not normally distributed. Journal of Derivatives, 5(3), 9-19.
    Paper not yet in RePEc: Add citation now
  12. Jarrow, R. (ed.) (1998). Volatility: New Estimation Techniques for Pricing Derivatives. Risk Books, London.

  13. Jorion, P. (1997). Value at Risk: The New Benchmark for Controlling Market Risk. McGraw-Hill, New York.
    Paper not yet in RePEc: Add citation now
  14. Kuchler, U., Neumann, K., Soerensen, M., and Streller, A. (1994). Stock returns and hyperbolic distributions. Sonderforschungsbereich 373, Humboldt-Universtat zu Berlin, (23), 1-18.
    Paper not yet in RePEc: Add citation now
  15. McCulloh, J.H. (1996). Financial applications of stable distributions. In G.S. Maddala and C.R. Rao (eds.), Statistical Methods in Finance, Handbook of Statistics Vol. 14. North Holland.
    Paper not yet in RePEc: Add citation now
  16. Ormoneit, D. and Neuneier, R. (1999). Conditional value at risk. In Y.S. Abu-Mostafa, A.W. Lo, and A.S. Weigend (eds.), Proceedings of the Sixth International Conference in Computational Finance. MIT Press, Cambridge, U.S.A.
    Paper not yet in RePEc: Add citation now
  17. Press, W., Teukolsky, W.T., Vetterling, S.A., and Flannery, B. (1993). Numerical Recipes in C. Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now
  18. Weigend, A.S., Mangeas, M., and Srivastava, A.N. (1995). Nonlinear gated experts for time series: Discovering regimes and avoiding overfitting. International Journal of Neural Systems, 6, 373-399.
    Paper not yet in RePEc: Add citation now
  19. Wong, C.S. and Li, W.K. (2000). On a mixture autoregressive model. Journal of the Royal Statistical Society B, 62, 95-115.

  20. Zeevi, A.J., Meir, R., and Adler, R.J. (1999). Non-linear models for time series using mixtures of autorregressive models. Preprint.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Adjusted Expected Shortfall. (2021). Wang, Ruodu ; Burzoni, Matteo ; Munari, Cosimo.
    In: Papers.
    RePEc:arx:papers:2007.08829.

    Full description at Econpapers || Download paper

  2. Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations. (2020). Feinstein, Zachary ; Ararat, Ccaugin.
    In: Papers.
    RePEc:arx:papers:1912.06916.

    Full description at Econpapers || Download paper

  3. Quantifying Risk in Traditional Energy and Sustainable Investments. (2019). Mora-Valencia, Andrés ; Garcia-Donato, Gonzalo ; Diaz, Antonio.
    In: Sustainability.
    RePEc:gam:jsusta:v:11:y:2019:i:3:p:720-:d:201942.

    Full description at Econpapers || Download paper

  4. Comparison of various risk measures for an optimal portfolio. (2019). Meral, Alev.
    In: Papers.
    RePEc:arx:papers:1912.09573.

    Full description at Econpapers || Download paper

  5. How much is optimal reinsurance degraded by error?. (2019). Wang, Yinzhi ; Bolviken, Erik.
    In: Papers.
    RePEc:arx:papers:1912.04175.

    Full description at Econpapers || Download paper

  6. Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory. (2017). Giles, David ; Chen, Qinlu .
    In: Econometrics Working Papers.
    RePEc:vic:vicewp:1704.

    Full description at Econpapers || Download paper

  7. Risk averse supply portfolio selection with supply, demand and spot market volatility. (2015). Merzifonluoglu, Yasemin.
    In: Omega.
    RePEc:eee:jomega:v:57:y:2015:i:pa:p:40-53.

    Full description at Econpapers || Download paper

  8. On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation. (2015). Perreault, Samuel ; Cossette, Helene ; Marceau, Etienne.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:64:y:2015:i:c:p:214-224.

    Full description at Econpapers || Download paper

  9. Are Linear and Nonlinear Exchange Rate Exposures Aggravating Agents to Corporate Bankruptcy in Nigeria? New Evidence from the U Test Analysis. (2015). RAFINDADI, ABDULRASHID ; Yusof, Zarinah .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2015-01-17.

    Full description at Econpapers || Download paper

  10. La prima de riesgo recargada en un seguro de rentas: tarificación mediante el uso de una medida de riesgo coherente || The Risk Recharged Premium for a Survival Life Insurance: Recharged Premium throu. (2013). Vilar Zanon, Jose Luis, ; Solis, Montserrat Hernandez ; Colomer, Cristina Lozano .
    In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration.
    RePEc:pab:rmcpee:v:15:y:2013:i:1:p:151-167.

    Full description at Econpapers || Download paper

  11. Optimal reinsurance subject to Vajda condition. (2013). Chi, Yichun ; Weng, Chengguo.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:1:p:179-189.

    Full description at Econpapers || Download paper

  12. A Financial Risk Analysis: Does the 2008 Financial Crisis Give Impact on Weekends Returns of the U.S. Movie Box Office?. (2013). Hidayat, Rafki ; Sumarti, Novriana.
    In: Papers.
    RePEc:arx:papers:1306.0966.

    Full description at Econpapers || Download paper

  13. Time-Consistent and Market-Consistent Evaluations. (2013). Stadje, Mitja ; Pelsser, Antoon.
    In: Papers.
    RePEc:arx:papers:1109.1749.

    Full description at Econpapers || Download paper

  14. Backtesting the solvency capital requirement for longevity risk. (2012). D'Amato, Valeria ; Coppola, Mariarosaria.
    In: Journal of Risk Finance.
    RePEc:eme:jrfpps:v:13:y:2012:i:4:p:309-319.

    Full description at Econpapers || Download paper

  15. Price as a choice under nonstochastic randomness in finance. (2012). Ivanenko, Yaroslav ; Y, Ivanenko., ; B, Munier., .
    In: Working papers.
    RePEc:bfr:banfra:381.

    Full description at Econpapers || Download paper

  16. Construction of uncertainty sets for portfolio selection problems. (2011). Wiechers, Christof.
    In: Discussion Papers in Econometrics and Statistics.
    RePEc:zbw:ucdpse:411.

    Full description at Econpapers || Download paper

  17. On the diversification of portfolios of risky assets. (2011). Frahm, Gabriel ; Wiechers, Christof.
    In: Discussion Papers in Econometrics and Statistics.
    RePEc:zbw:ucdpse:211.

    Full description at Econpapers || Download paper

  18. About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis.. (2011). Sibbertsen, Philipp ; Bertram, Philip ; Stahl, Gerhard.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-469.

    Full description at Econpapers || Download paper

  19. Probability-free pricing of adjusted American lookbacks. (2011). Koolen, Wouter M. ; Vovk, Vladimir ; de Rooij, Steven ; Dawid, Philip A. ; Grunwald, Peter ; Vereshchagin, Nikolai ; Shafer, Glenn ; Shen, Alexander.
    In: Papers.
    RePEc:arx:papers:1108.4113.

    Full description at Econpapers || Download paper

  20. Heavy-tailed distributions in VaR calculations. (2010). Weron, Rafał ; Misiorek, Adam.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1005.

    Full description at Econpapers || Download paper

  21. Risk measuring under model uncertainty. (2010). Kervarec, Magali ; Bion-Nadal, Jocelyne .
    In: Papers.
    RePEc:arx:papers:1004.5524.

    Full description at Econpapers || Download paper

  22. Dynamic risk measures. (2010). Penner, Irina ; Acciaio, Beatrice.
    In: Papers.
    RePEc:arx:papers:1002.3794.

    Full description at Econpapers || Download paper

  23. Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles. (2010). Penner, Irina ; Foellmer, Hans ; Acciaio, Beatrice.
    In: Papers.
    RePEc:arx:papers:1002.3627.

    Full description at Econpapers || Download paper

  24. Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions. (2010). Pergamenchtchikov, Serguei ; Kluppelberg, Claudia.
    In: Papers.
    RePEc:arx:papers:1002.2486.

    Full description at Econpapers || Download paper

  25. Time consistency and moving horizons for risk measures. (2010). Cohen, Samuel N. ; ELLIOTT, ROBERT J..
    In: Papers.
    RePEc:arx:papers:0912.1396.

    Full description at Econpapers || Download paper

  26. Short note on inf-convolution preserving the Fatou property. (2009). .
    In: Annals of Finance.
    RePEc:kap:annfin:v:5:y:2009:i:2:p:281-287.

    Full description at Econpapers || Download paper

  27. TVaR-based capital allocation with copulas. (2009). Barges, Mathieu ; Cossette, Helene ; Marceau, Etienne.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00431265.

    Full description at Econpapers || Download paper

  28. An Econometric Analysis of Financial Data in Risk Management. (2008). Fantazzini, Dean.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0006.

    Full description at Econpapers || Download paper

  29. Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory. (2008). Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2008-05.

    Full description at Econpapers || Download paper

  30. Nested simulation in portfolio risk measurement. (2008). Gordy, Michael ; Juneja, Sandeep.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-21.

    Full description at Econpapers || Download paper

  31. Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures. (2007). Dana, Rose-Anne ; le Van, Cuong.
    In: Post-Print.
    RePEc:hal:journl:halshs-00188761.

    Full description at Econpapers || Download paper

  32. Risk and economic sustainability of crop farming systems. (2007). Flaten, Ola ; Lien, Gudbrand ; Hardaker, Brian J..
    In: Agricultural Systems.
    RePEc:eee:agisys:v:94:y:2007:i:2:p:541-552.

    Full description at Econpapers || Download paper

  33. Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk. (2007). Bion-Nadal, Jocelyne .
    In: Papers.
    RePEc:arx:papers:math/0703074.

    Full description at Econpapers || Download paper

  34. Creazione di valore per gli shareholders e gli stakeholders: una fondazione analitica dei principali indicatori di valore. (2006). Masera, Rainer S. ; Mazzoni, Giancarlo.
    In: Moneta e Credito.
    RePEc:psl:moneta:2006:41.

    Full description at Econpapers || Download paper

  35. Appropriateness of Default Investment Options in Defined Contribution Plans: The Australian Evidence. (2006). Drew, Michael ; Basu, Anup.
    In: MPRA Paper.
    RePEc:pra:mprapa:3314.

    Full description at Econpapers || Download paper

  36. Risk measures for derivatives with Markov-modulated pure jump processes. (2006). Siu, Tak Kuen.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:13:y:2006:i:2:p:129-149.

    Full description at Econpapers || Download paper

  37. A tale of tails: an empirical analysis of loss distribution models for estimating operational risk capital. (2006). Dutta, Kabir ; Perry, Jason.
    In: Working Papers.
    RePEc:fip:fedbwp:06-13.

    Full description at Econpapers || Download paper

  38. Multivariate risks and depth-trimmed regions. (2006). Molchanov, Ilya ; Cascos, Ignacio.
    In: Papers.
    RePEc:arx:papers:math/0606520.

    Full description at Econpapers || Download paper

  39. Bank Trading Risk and Systemic Risk. (2005). Jorion, Philippe.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11037.

    Full description at Econpapers || Download paper

  40. Diversification and Performance in Banking: The Israeli Case. (2005). Landskroner, Yoram ; Zaken, David ; Ruthenberg, David.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:27:y:2005:i:1:p:27-49.

    Full description at Econpapers || Download paper

  41. The Present, Future and Imperfect of Financial Risk Management. (2004). Alexandra, Carol .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2003-12.

    Full description at Econpapers || Download paper

  42. On Bayesian Value at Risk: From Linear to Non-Linear Portfolios. (2004). Tong, Howell ; Siu, Tak Kuen.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:11:y:2004:i:2:p:161-184.

    Full description at Econpapers || Download paper

  43. Computational Tools for the Analysis of Market Risk. (2003). .
    In: Computational Economics.
    RePEc:kap:compec:v:21:y:2003:i:1:p:153-172.

    Full description at Econpapers || Download paper

  44. VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions. (2003). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:physics/0301009.

    Full description at Econpapers || Download paper

  45. Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets. (2002). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:cond-mat/0207475.

    Full description at Econpapers || Download paper

  46. Portfolio Optimization with Spectral Measures of Risk. (2002). Acerbi, Carlo ; Prospero, Simonetti ; Carlo, Acerbi .
    In: Papers.
    RePEc:arx:papers:cond-mat/0203607.

    Full description at Econpapers || Download paper

  47. On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk.
    In: Papers.
    RePEc:arx:papers:cond-mat/0104295.

    Full description at Econpapers || Download paper

  48. Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem. (2001). Acerbi, Carlo.
    In: Papers.
    RePEc:arx:papers:cond-mat/0107190.

    Full description at Econpapers || Download paper

  49. Expected Shortfall: a natural coherent alternative to Value at Risk. (2001). Acerbi, Carlo ; Tasche, Dirk.
    In: Papers.
    RePEc:arx:papers:cond-mat/0105191.

    Full description at Econpapers || Download paper

  50. The Basis Risk of Catastrophic-Loss Index Securities. (2000). Phillips, Richard ; Cummins, John ; Lalonde, David.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-22.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-01 10:33:44 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.