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Fallacies about the effects of market risk management systems
0 references·3 citing·10 second hop
Fallacies about the effects of market risk management systems (2002)Fallacies about the effects of market ris…Value-at-Risk via mixture distributions reconsidered (2009)Value-at-Risk via mixture dis…Volatility and VaR forecasting in the Madrid Stock Exchange (2007)Volatility and VaR forecastin…Conditional probability of default methodology (2006)Conditional probability of de…Financial Development and Economic Growth: Views and AgendaON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Business Cycle Effects on Commercial Bank Loan Portfolio Performance in Developing Economies (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Coherent Measures of Risk (1999)The Econometrics of Financial Markets (2012)
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  • 2009Value-at-Risk via mixture distributions reconsidered38 cited
  • 2007Volatility and VaR forecasting in the Madrid Stock Exchange30 cited
  • 2006Conditional probability of default methodology22 cited

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