Pages that link to "Item:Q4803748"
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The following pages link to COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering) (Q4803748):
Displaying 32 items.
- An R Package for Value at Risk and Expected Shortfall (Q129979) (← links)
- Comparison of risks based on the expected proportional shortfall (Q153955) (← links)
- Modelling operational risk losses with graphical models and copula functions (Q398811) (← links)
- Bayesian copulae distributions, with application to operational risk management (Q398812) (← links)
- On the necessity of five risk measures (Q470608) (← links)
- Processing second-order stochastic dominance models using cutting-plane representations (Q647395) (← links)
- Seven proofs for the subadditivity of expected shortfall (Q906342) (← links)
- A high-order Markov-switching model for risk measurement (Q980081) (← links)
- A Bayesian approach to estimate the marginal loss distributions in operational risk management (Q1023645) (← links)
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk (Q1656799) (← links)
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall (Q1689024) (← links)
- Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited (Q1751823) (← links)
- Risk measures and behaviors for bonds under stochastic interest rate models (Q1931093) (← links)
- Mixed value-at-risk and its numerical investigation (Q2137621) (← links)
- Risk management with expected shortfall (Q2230765) (← links)
- Portfolio construction based on stochastic dominance and target return distributions (Q2502214) (← links)
- Measuring and comparing risks of different types (Q2670105) (← links)
- Probability equivalent level of value at risk and higher-order expected shortfalls (Q2681453) (← links)
- Managing risk with expected shortfall (Q2724701) (← links)
- Estimation methods for expected shortfall (Q2879025) (← links)
- On the Measurement of Economic Tail Risk (Q3178757) (← links)
- Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization (Q3426227) (← links)
- Nonparametric estimation of 100(1 − <i>p</i>)% expected shortfall: <i>p</i> <font>→</font> 0 as sample size is increased (Q4563411) (← links)
- Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances (Q5019725) (← links)
- The exchange rate risk of Chinese yuan: Using VaR and ES based on extreme value theory (Q5123515) (← links)
- Value-at-Risk Prediction: A Comparison of Alternative Strategies (Q5226705) (← links)
- Backtesting extreme value theory models of expected shortfall (Q5234339) (← links)
- Estimation of risk contributions with MCMC (Q5234382) (← links)
- Tabulations for value at risk and expected shortfall (Q5349132) (← links)
- Analysis of the Expected Shortfall of Aggregate Dependent Risks (Q5490577) (← links)
- Distortion Risk Measures and Economic Capital (Q5715954) (← links)
- Modified expected shortfall: a coherent risk measure for elliptical family of distributions (Q6108890) (← links)
