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Calibration of multivariate generalized hyperbolic distributions using the em algorithm, with applications in risk management, portfolio optimization and portfolio credit risk
16 references·5 citing·27 second hop
Calibration of multivariate generalized hyperbolic distributions using the em algorithm, with applications in risk management, portfolio optimization and portfolio credit risk (2005)Calibration of multivariate generalized h…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …The t Copula and Related Copulas (2007)The t Copula and Related Copu…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Copula Methods in Finance (2004)Copula Methods in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Optimization of conditional value-at-risk (2000)Optimization of conditional v…The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Generalized Hyperbolic Mo…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Normal Inverse Gaussian Distr…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Modeling Financial Sector Joint Tail Risk in the Euro Area (2016)Modeling Financial Sector Joi…Asymmetry in tail dependence in equity portfolios (2015)Asymmetry in tail dependence …Portfolio optimization for studenttand skewedtreturns (2009)Portfolio optimization for st…Risk management with generalized hyperbolic distributions (2007)Risk management with generali…A fully parametric approach to return modelling and risk management of hedge funds (2006)A fully parametric approach t…The distribution of realized stock return volatility (2001)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
  • 2007The t Copula and Related Copulas964 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited

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Cited by

  • 2009Portfolio optimization for studenttand skewedtreturns67 cited
  • 2016Modeling Financial Sector Joint Tail Risk in the Euro Area41 cited
  • 2015Asymmetry in tail dependence in equity portfolios41 cited
  • 2006A fully parametric approach to return modelling and risk management of hedge funds31 cited
  • 2007Risk management with generalized hyperbolic distributions29 cited