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Mathematics in Financial Risk Management
16 references·0 citing·31 second hop
Mathematics in Financial Risk Management (2007)Mathematics in Financial Risk ManagementQuantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…On the coherence of expected shortfall (2002)On the coherence of expected …Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Coherent Measures of Risk (1999)Coherent Measures of RiskOn cox processes and credit risky securities (1998)On cox processes and credit r…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…An Introduction to Copulas (1999)The distribution of realized stock return volatility (2001)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)PORTFOLIO SELECTION* (1952)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)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)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1998On cox processes and credit risky securities1,213 cited

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2002
Stochastic Finance: An Introduction in Discrete Time
1,190 cited

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