SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Analytical value-at-risk with jumps and credit risk
7 references·16 citing·44 second hop
Analytical value-at-risk with jumps and credit risk (2001)Analytical value-at-risk with jumps and c…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Coherent Measures of Risk (1999)Coherent Measures of RiskStress Testing in a Value at Risk Framework (1998)Stress Testing in a Value at …An Overview of Value at Risk (1997)An Overview of Value at RiskAn Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…Scenario Simulation: Theory and methodology (1996)Scenario Simulation: Theory a…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Modelling the volatility of crude oil returns: Jumps and volatility forecasts (2020)Modelling the volatility of c…Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity (2019)Making cents of tick sizes: T…Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement (2017)Kernel Smoothing for Nested E…On the Measurement of Economic Tail Risk (2016)On the Measurement of Economi…Risk Estimation via Regression (2015)Risk Estimation via RegressionStock Price Jumps and Cross-Sectional Return Predictability (2013)Stock Price Jumps and Cross-S…Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks (2013)Intraday liquidity dynamics a…Fact or Friction: Jumps at Ultra High Frequency (2011)Fact or Friction: Jumps at Ul…Realised quantile-based estimation of the integrated variance (2010)Realised quantile-based estim…Does adding up of economic capital for market- and credit risk amount to conservative risk assessment? (2009)Does adding up of economic ca…Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling (2009)Computing VaR and CVaR using …On time-scaling of risk and the square-root-of-time rule (2006)On time-scaling of risk and t…On the controversy over tailweight of distributions (2004)On the controversy over tailw…VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS (2003)VALUE-AT-RISK AND EXPECTED SH…The practice of Delta–Gamma VaR: Implementing the quadratic portfolio model (2003)The practice of Delta–Gamma V…Tail estimation and mean–VaR portfolio selection in markets subject to financial instability (2002)Tail estimation and mean–VaR …The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Option pricing when underlying stock returns are discontinuous (1976)Why Does Stock Market Volatility Change Over Time? (1989)Stochastic Integration and Differential Equations (2005)On forecasting daily stock volatility: The role of intraday information and market conditions (2009)The Benefits of Bagging for Forecast Models of Realized Volatility (2010)HAR Modeling for Realized Volatility Forecasting (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2001)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Maxmin expected utility with non-unique prior (1989)Market Liquidity and Funding Liquidity (2008)Worst-Case Range Value-at-Risk with Partial Information (2017)Characterization, Robustness and Aggregation of Signed Choquet Integrals (2018)A Theory for Measures of Tail Risk (2021)Optimum consumption and portfolio rules in a continuous-time model (1971)On estimating the expected return on the market (1980)Diversification and Value-at-Risk (2009)Forecasting volatility with empirical similarity and Google Trends (2015)On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles (2018)An equilibrium characterization of the term structure (1977)Estimating the Price of Default Risk (1999)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)An introduction to market risk measurement (2002)The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Developing a stress testing framework based on market risk models (2008)The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes (2011)Stress testing banks (2014)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1996Scenario Simulation: Theory and methodology168 cited
  • 1998Stress Testing in a Value at Risk Framework161 cited

Cited by

  • 2006On time-scaling of risk and the square-root-of-time rule129 cited
  • 2010Realised quantile-based estimation of the integrated variance107 cited
  • 2016On the Measurement of Economic Tail Risk97 cited
  • 2015Risk Estimation via Regression94 cited
  • 2013Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks93 cited
  • 2004On the controversy over tailweight of distributions93 cited
  • 2013Stock Price Jumps and Cross-Sectional Return Predictability86 cited
  • 2011Fact or Friction: Jumps at Ultra High Frequency74 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2009
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
72 cited
  • 2019Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity67 cited
  • 2020Modelling the volatility of crude oil returns: Jumps and volatility forecasts63 cited
  • 2002Tail estimation and mean–VaR portfolio selection in markets subject to financial instability60 cited
  • 2017Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement56 cited
  • 2009Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?53 cited
  • 2003VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS47 cited
  • 2003The practice of Delta–Gamma VaR: Implementing the quadratic portfolio model45 cited