Nonlinear value-at-risk

被引：0

作者：

Britten-Jones, M ^{[1
]}

Schaefer, SM ^{[1
]}

机构：

[1] London Business Sch, London, England

来源：

关键词：

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：115 / 143

页数：29

共 50 条

[31] Market capitalization and Value-at-Risk
Dias, Alexandra
JOURNAL OF BANKING & FINANCE, 2013, 37 (12) : 5248 - 5260
[32] Cybersecurity Value-at-Risk Framework
Sanghvi, Anuj Dilip
Cryar, Ryan
2023 IEEE POWER & ENERGY SOCIETY GENERAL MEETING, PESGM, 2023,
[33] Algorithms for optimization of Value-at-Risk
Larsen, N
Mausser, H
Uryasev, S
FINANCIAL ENGINEERING, E-COMMERCE AND SUPPLY CHAIN, 2002, 70 : 19 - 46
[34] Confidence intervals for the value-at-risk
Huschens, S
RISK MANAGEMENT, ECONOMETRICS AND NEURAL NETWORKS, 1998, : 233 - 244
[35] Value-at-risk and ruin probability
Ren, Jiandong
JOURNAL OF RISK, 2012, 14 (03): : 53 - 62
[36] A REMARK CONCERNING VALUE-AT-RISK
Novak, S. Y.
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2010, 13 (04) : 507 - 515
[37] On Some Models for Value-At-Risk
Yu, Philip L. H.
Li, Wai Keung
Jin, Shusong
ECONOMETRIC REVIEWS, 2010, 29 (5-6) : 622 - 641
[38] A corrected Value-at-Risk predictor
Lonnbark, Carl
APPLIED ECONOMICS LETTERS, 2010, 17 (12) : 1193 - 1196
[39] Kendall Conditional Value-at-Risk
Durante, Fabrizio
Gatto, Aurora
Perrone, Elisa
MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE, MAF 2022, 2022, : 222 - 227
[40] On multivariate extensions of Value-at-Risk
Cousin, Areski
Di Bernardino, Elena
JOURNAL OF MULTIVARIATE ANALYSIS, 2013, 119 : 32 - 46