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Risk Capital and VaR
13 references·3 citing·37 second hop
Risk Capital and VaR (1999)Risk Capital and VaRJournal of Financial Services Research (2013)Journal of Financial Services…Value at Risk When Daily Changes in Market Variables are not Normally Distributed (1998)Value at Risk When Daily Chan…Implementing Value at Risk (1998)Implementing Value at RiskValue at Risk (1997)Value at RiskEvaluating Value at Risk Methodologies: Accuracy versus Computational Time (1997)Evaluating Value at Risk Meth…An Overview of Value at Risk (1997)An Overview of Value at RiskManaging Bank Capital: Capital Allocation and Performance Measurement (1996)Managing Bank Capital: Capita…VAR: Seductive but Dangerous (1995)VAR: Seductive but DangerousCapital Requirements for Securities Firms (1995)Capital Requirements for Secu…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The financial analysts journal (1960)The financial analysts journalEstimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk (2013)Estimating hedged portfolio v…Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals (2006)Improved estimation of portfo…Risk Management, Derivatives, and Financial Analysis under SFAS No. 133 (2001)Risk Management, Derivatives,…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)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)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)Options, Futures, and Other Derivative Securities. (1990)Evaluation of Value-at-Risk Models Using Historical Data (2007)Methods for Evaluating Value-at-Risk Estimates (2007)Entropic Value-at-Risk: A New Coherent Risk Measure (2011)Can domestic tourism relieve the COVID-19 tourist industry crisis? The case of Spain (2021)The cost of capital, corporation finance and the theory of investment (2008)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Trading volume, bid-ask spread, and price volatility in futures markets (2000)Product Differentiation, Search Costs, and Competition in the Mutual Fund Industry: A Case Study of S&P 500 Index Funds (2004)Bank Competition And Financial Stability: Friends Or Foes? (2008)Bank capital regulation as an incentive mechanism: Implications for portfolio choice (2002)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)What Is Systemic Risk? (2013)Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula (2001)An Extreme Value Approach to Estimating Volatility and Value at Risk* (2003)Normal mixture GARCH(1,1): applications to exchange rate modelling (2006)Risk 2 : Measuring the Risk in Value at Risk (1996)The hidden dangers of historical simulation (2005)Modelling the persistence of conditional variances (1986)First Impressions Matter: A Model of Confirmatory Bias (1999)Institutional Investors and Equity Prices (2001)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1960The financial analysts journal1,043 cited
  • 2013Journal of Financial Services Research372 cited
  • 1995VAR: Seductive but Dangerous362 cited
  • 1998Value at Risk When Daily Changes in Market Variables are not Normally Distributed257 cited
  • 1997Evaluating Value at Risk Methodologies: Accuracy versus Computational Time244 cited
  • 1996Managing Bank Capital: Capital Allocation and Performance Measurement154 cited
  • 1998Implementing Value at Risk138 cited
  • 1997Value at Risk103 cited
  • 1995Capital Requirements for Securities Firms66 cited

Cited by

  • 2013Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk31 cited
  • 2001Risk Management, Derivatives, and Financial Analysis under SFAS No. 13323 cited

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2006
Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals
23 cited