Estimating Model Risk of VaR under Different Approaches: Study on European Banks.
- Published in:
- Contemporary Management Problems / Współczesne Problemy Zarządzania, 2021, v. 9, n. 2, p. 65, doi. 10.52934/wpz.151
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- Publication type:
- Article
Works matching DE "HISTORICAL simulation (Economics)"
Results: 13
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Valor en riesgo: evaluación del desempeño de diferentes metodologías para 5 países latinoamericanos.
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- Estudios Gerenciales, 2013, v. 29, n. 126, p. 37, doi. 10.1016/S0123-5923(13)70018-4
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- Article
3
Estimadores del índice de cola y el valor en riesgo.
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- Cuadernos de Administración, 2010, v. 26, n. 44, p. 71
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- Publication type:
- Article
4
Filtered Historical Simulation for Initial Margin of Interest Rate Swap Under Korean Market.
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- Emerging Markets Finance & Trade, 2018, v. 54, n. 11, p. 2516, doi. 10.1080/1540496X.2018.1456917
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- Article
5
Value at risk (VaR) analysis for fat tails and long memory in returns.
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- Eurasian Economic Review, 2017, v. 7, n. 2, p. 215, doi. 10.1007/s40822-017-0067-z
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- Article
6
Tail risk in emerging markets of Southeastern Europe.
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- Applied Economics, 2016, v. 48, n. 19, p. 1785, doi. 10.1080/00036846.2015.1109037
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- Article
7
Empirical Test of Multiple-Liability Immunization Conditions.
- Published in:
- Journal of Fixed Income, 2023, v. 33, n. 2, p. 111, doi. 10.3905/jfi.2023.1.168
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- Article
8
How Much Have Variations in the Meridional Overturning Circulation Contributed to Sea Surface Temperature Trends since 1850? A Study with the EC-Earth Global Climate Model.
- Published in:
- Journal of Climate, 2014, v. 27, n. 16, p. 6343, doi. 10.1175/JCLI-D-13-00651.1
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- Article
9
Comparison of Risk Calculation Based on Historical Simulation and the Copula Function.
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- Public Finance Quarterly (0031-496X), 2018, v. 63, n. 1, p. 80
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- Article
10
Takahashi-Alexander Revisited: Modeling Private Equity Portfolio Outcomes Using Historical Simulations.
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- Journal of Portfolio Management, 2023, v. 49, n. 7, p. 144, doi. 10.3905/jpm.2023.1.496
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- Publication type:
- Article
11
Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations.
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- Journal of Portfolio Management, 2022, v. 48, n. 4, p. 282, doi. 10.3905/jpm.2022.1.336
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- Publication type:
- Article
12
Recent Trends in Empirical Finance.
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- Journal of Portfolio Management, 2015, v. 42, n. 1, p. 29
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- Publication type:
- Article
13
Estimation of portfolio efficient frontier by diffierent measures of risk via DEA.
- Published in:
- International Journal of Industrial Mathematics, 2016, v. 8, n. 3, p. 189
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- Publication type:
- Article