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Value at Risk: Theory and Practice
0 references·16 citing·53 second hopsampled
Value at Risk: Theory and Practice (2003)Value at Risk: Theory and PracticeForecasting the term structure of crude oil futures prices with neural networks (2015)Forecasting the term structur…Predicting the unpredictable: Value-at-risk, performativity, and the politics of financial uncertainty (2014)Predicting the unpredictable:…A Quantitative Framework for Managing Project Value, Risk, and Opportunity (2014)A Quantitative Framework for …Is enterprise risk management real? 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  • 2011Entropic Value-at-Risk: A New Coherent Risk Measure277 cited
  • 2008Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach206 cited
  • 2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures174 cited
  • 2006Using extreme value theory to measure value-at-risk for daily electricity spot prices166 cited
  • 2005Energy risk management and value at risk modeling119 cited
  • 2006Exchange Rate Risk Measurement and Management108 cited
  • 2014Predicting the unpredictable: Value-at-risk, performativity, and the politics of financial uncertainty106 cited
  • 2011Is enterprise risk management real?104 cited
  • 2011Fuzzy-Portfolio-Selection Models With Value-at-Risk98 cited
  • 2009Rolling over stock index futures contracts96 cited
  • 2009Application of bootstrap method in conservative estimation of reliability with limited samples92 cited
  • 2010Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution91 cited
  • 2015Forecasting the term structure of crude oil futures prices with neural networks87 cited
  • 2011‘Cognitive Closure’ in the Netherlands: Mortgage Securitization in a Hybrid European Political Economy

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78 cited
  • 2014A Quantitative Framework for Managing Project Value, Risk, and Opportunity60 cited
  • 2010Financial volatility trading using a self-organising neural-fuzzy semantic network and option straddle-based approach57 cited