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Jorge Mina2001

Article2001

Return to RiskMetrics: The Evolution of a Standard

Jorge Mina · Jerry Yi Xiao

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Financial Risk and Volatility Modeling Risk Management in Financial Firms Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1999Coherent Measures of Risk 1999An Introduction to Copulas 2000Optimization of conditional value-at-risk 2016“Options, Futures, and Other Derivatives”1976The pricing of commodity contracts 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1998Understanding Relationships Using Copulas

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2009Banking Stability Measures 2007Risk Measures for Hedge Funds: a Cross‐sectional Approach 2014Extreme-quantile tracking for financial time series 2015Risk Management in Banking 2009The Riskmetrics 2006 Methodology 2008The Black-Litterman Approach: Original Model and Extensions 2010Fully Flexible Views: Theory and Practice

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Year2001

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Published2001-01-01

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Citations174

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ShelfFinancial Risk and Volatility Modeling

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openalex_workW185461399

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2014

A new set of improved Value-at-Risk backtests