Measures of risk
暂无分享,去创建一个
[1] Abe Sklar,et al. Random variables, joint distribution functions, and copulas , 1973, Kybernetika.
[2] G. Simons,et al. On the theory of elliptically contoured distributions , 1981 .
[3] C. Genest,et al. Statistical Inference Procedures for Bivariate Archimedean Copulas , 1993 .
[4] Alan J. Lee,et al. Generating Random Binary Deviates Having Fixed Marginal Distributions and Specified Degrees of Association , 1993 .
[5] E. Eberlein,et al. Hyperbolic distributions in finance , 1995 .
[6] Harry Joe,et al. Multivariate Distributions from Mixtures of Max-Infinitely Divisible Distributions , 1996 .
[7] M. Phelan,et al. Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J.P. Morgan's RiskMetrics™ , 1997 .
[8] Wilbert O. Bascom. Managing Credit Risk , 1997 .
[9] Shaun S. Wang,et al. Axiomatic characterization of insurance prices , 1997 .
[10] H. Joe. Multivariate models and dependence concepts , 1998 .
[11] R. Nelsen. An Introduction to Copulas , 1998 .
[12] Emiliano A. Valdez,et al. Understanding Relationships Using Copulas , 1998 .
[13] Michael B. Gordy. A Comparative Anatomy of Credit Risk Models , 1998 .
[14] Jon Danielsson,et al. The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations , 1998 .
[15] Aleš Černý,et al. The Theory of Good-Deal Pricing in Financial Markets , 1998 .
[16] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[17] Giorgio Szego,et al. A Critique of the Basel Regulations, or How to Enhance (Im) Moral Hazards , 1999 .
[18] David S. Jones. Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues☆ , 2000 .
[19] Stefan Huschens,et al. A stable CAPM in the presence of heavy-tailed distributions , 2000 .
[20] R. Rockafellar,et al. Optimization of conditional value-at risk , 2000 .
[21] Thierry Roncalli,et al. Which Copula is the Right One? , 2000 .
[22] Carlos E. Testuri,et al. On Relation between Expected Regret and Conditional Value at Risk , 2000 .
[23] M. Crouhy,et al. A comparative analysis of current credit risk models , 2000 .
[24] Paul Embrechts,et al. Extremes and Integrated Risk Management , 2000 .
[25] Wolfgang Härdle,et al. Measuring Risk in Complex Stochastic Systems , 2000 .
[26] Eric Bouyé,et al. Copulas for Finance - A Reading Guide and Some Applications , 2000 .
[27] Jon Danielsson,et al. The emperor has no clothes: Limits to risk modelling , 2000 .
[28] Jon Danielsson,et al. Value-at-Risk and Extreme Returns , 2000 .
[29] Hélyette Geman,et al. Pricing and hedging in incomplete markets , 2001 .
[30] Helmut Mausser,et al. Credit risk optimization with Conditional Value-at-Risk criterion , 2001, Math. Program..
[31] Simone Manganelli,et al. Value at Risk Models in Finance , 2001, SSRN Electronic Journal.
[32] O. Barndorff-Nielsen,et al. Lévy processes : theory and applications , 2001 .
[33] Alessio Sancetta,et al. Bernstein Approximations to the Copula Function and Portfolio Optimization , 2001 .
[34] Zinoviy Landsman,et al. Risk measures and insurance premium principles , 2001 .
[35] D. Tasche,et al. On the coherence of expected shortfall , 2001, cond-mat/0104295.
[36] Michael B. Gordy. Calculation of Higher Moments in CreditRisk + with Applications , 2001 .
[37] C. Goodhart,et al. An academic response to Basel II , 2001 .
[38] Mortgage Lending,et al. Position Paper on the New Basel Capital Accord - Consultative Document from the Basel Committee on Banking Supervision (January 2001) , 2001 .
[39] Alexander J. McNeil,et al. Modelling dependent defaults , 2001 .
[40] Clive W. J. Granger,et al. Large returns, conditional correlation and portfolio diversification: a value-at-risk approach , 2001 .
[41] P. Embrechts,et al. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls , 2002 .
[42] Philippe Artzner,et al. Risk Management: Coherent Measures of Risk , 2002 .
[43] Jon Danielsson,et al. Incentives for effective risk management , 2002 .
[44] C. Acerbi. Spectral measures of risk: A coherent representation of subjective risk aversion , 2002 .
[45] M. Frittelli,et al. Putting order in risk measures , 2002 .
[46] T. Ané,et al. Dependence Structure and Risk Measure , 2003 .
[47] Michael B. Gordy. A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules , 2003 .
[48] P. Embrechts,et al. Chapter 8 – Modelling Dependence with Copulas and Applications to Risk Management , 2003 .