Developing a stress testing framework based on market risk models
暂无分享,去创建一个
[1] C. Perignon,et al. The Level and Quality of Value-at-Risk Disclosure by Commercial Banks , 2009 .
[2] Andrew J. Patton. Copula-Based Models for Financial Time Series , 2009 .
[3] F. Diebold,et al. Modeling Liquidity Risk with Implications for Traditional Market Risk Measurement and Management , 2008 .
[4] A. Heath,et al. Evidence of Carry Trade Activity , 2007 .
[5] M. Kenward,et al. An Introduction to the Bootstrap , 2007 .
[6] Timotheos Angelidis,et al. Liquidity adjusted value-at-risk based on the components of the bid-ask spread , 2006 .
[7] J. Hull. Risk Management And Financial Institutions , 2006 .
[8] Marno Verbeek,et al. Selecting Copulas for Risk Management , 2006 .
[9] Mike K. P. So,et al. Empirical analysis of GARCH models in value at risk estimation , 2006, Journal of International Financial Markets, Institutions and Money.
[10] Prachi Deuskar. Extrapolative Expectations: Implications for Volatility and Liquidity , 2006 .
[11] R. Lund. Estimation in Conditionally Heteroscedastic Time Series Models , 2006 .
[12] H Eugene Stanley,et al. Quantifying fluctuations in market liquidity: analysis of the bid-ask spread. , 2005, Physical review. E, Statistical, nonlinear, and soft matter physics.
[13] F. Longin,et al. The choice of the distribution of asset returns: How extreme value theory can help? , 2005 .
[14] S. Chen,et al. Nonparametric Inference of Value-at-Risk for Dependent Financial Returns , 2005 .
[15] Jose A. Lopez. Stress tests: useful complements to financial risk models , 2005 .
[16] Stavros Degiannakis,et al. The Use of GARCH Models in VaR Estimation , 2004 .
[17] R. Gencay,et al. National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No . 42 Extreme value theory and Value-at-Risk : Relative performance in emerging markets , 2003 .
[18] Jón Dańıelsson,et al. On Time-Scaling of Risk and the Square-Root-Of-Time Rule , 2005 .
[19] L. Bauwens,et al. Multivariate GARCH Models: A Survey , 2003 .
[20] C. Hafner. On forecasting Exchange Rate Volatility , 2003 .
[21] R. Engle. Dynamic Conditional Correlation , 2002 .
[22] K. Dowd. Measuring Market Risk , 2002 .
[23] S. Laurent,et al. Value-at-Risk for long and short trading positions , 2003 .
[24] Matthew Pritsker,et al. The Hidden Dangers of Historical Simulation , 2001 .
[25] Jeremy Berkowitz,et al. How Accurate are Value-at-Risk Models at Commercial Banks , 2001 .
[26] P. D. Jongh,et al. Risk estimation using the normal inverse Gaussian distribution , 2001 .
[27] Incorporating Stress Tests into Market Risk Modeling , 2001 .
[28] A. McNeil,et al. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach , 2000 .
[29] Paul Embrechts,et al. Extremes and Integrated Risk Management , 2000 .
[30] Marc S. Paolella,et al. Conditional density and value‐at‐risk prediction of Asian currency exchange rates , 2000 .
[31] Jeremy Berkowitz,et al. A Coherent Framework for Stress-Testing , 1999 .
[32] Jon Danielsson,et al. Value-at-Risk and Extreme Returns , 2000 .
[33] C. Borio. Market liquidity and stress: selected issues and policy implications , 2000 .
[34] Thomas J. Latta. Stress Testing in a Value at Risk Framework , 1999 .
[35] Ronald Huisman,et al. VaR-x: fat tails in financial risk management , 1998 .
[36] F. Longin,et al. From value at risk to stress testing : The extreme value approach Franc ß ois , 2000 .
[37] M. Hall. The amendment to the capital accord to incorporate market risk , 1996 .
[38] Paul H. Kupiec,et al. Techniques for Verifying the Accuracy of Risk Measurement Models , 1995 .
[39] James Stephen Marron,et al. Kernel Quantile Estimators , 1990 .
[40] P. J. Green,et al. Density Estimation for Statistics and Data Analysis , 1987 .
[41] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .