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The Mismeasurement of Risk
7 references·9 citing·48 second hop
The Mismeasurement of Risk (2002)The Mismeasurement of RiskValue at Risk (2001)Value at RiskValue-at-Risk Based Risk Management: Optimal Policies and Asset Prices (2000)Value-at-Risk Based Risk Mana…Value at Risk (2000)Value at RiskThe impact of default risk on the prices of options and other derivative securities (1995)The impact of default risk on…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…Risk and uncertainty: a fallacy of large numbers (1963)Risk and uncertainty: a falla…Application of VaR in emerging markets: A case of selected Central and Eastern European Countries (2010)Application of VaR in emergin…First-passage probability, jump models, and intra-horizon risk (2009)First-passage probability, ju…Backtesting Value-at-Risk Models (2009)Backtesting Value-at-Risk Mod…Valuation of intergenerational transfers in funded collective pension schemes (2007)Valuation of intergenerationa…Scenario optimization asset and liability modelling for individual investors (2006)Scenario optimization asset a…Within-horizon exposure to loss for dollar cost averaging and lump sum investing (2005)Within-horizon exposure to lo…Alpha Hunters and Beta Grazers (2005)Alpha Hunters and Beta GrazersThe Role of Real Estate in an Institutional Investor's Portfolio Revisited (2004)The Role of Real Estate in an…Harry Markowitz and the Discretionary Wealth Hypothesis (2003)Harry Markowitz and the Discr…The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Pricing Black-Scholes options with correlated credit risk (1996)Recursive valuation of defaultable securities and the timing of resolution of uncertainty (1996)The intersection of market and credit risk (2000)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Investing for the Long-run in European Real Estate (2007)Alpha and Persistence in Real Estate Fund Performance (2010)Heterogeneous Investor Sentiment and Institutional Real Estate Investments (2016)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The Determinants of Credit Spread Changes (2001)An Overview of Value at Risk (1997)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Increased Correlation in Bear Markets (2002)Options, Futures and Other Derivatives (2003)A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)“Options, Futures, and Other Derivatives” (2016)An equilibrium characterization of the term structure (1977)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Asset Prices in an Exchange Economy (1978)Coherent Measures of Risk (1999)A Cat Bond Premium Puzzle? (2000)Optimal Portfolio Choice Under Loss Aversion (2000)Incentives and risk taking in hedge funds (2007)The financial analysts journal (1960)The Arithmetic of Active Management (1991)Asset pricing models with errors-in-variables (2008)The Geography of Pension Liabilities and Fund Governance in the United States (2008)Active Portfolio Management (2017)The Financial System Red in Tooth and Claw: 75 Years of Co-Evolving Markets and Technology (2021)Corporate pension funding policy (1976)Bond Risk Premia (2005)The Term Structure of Real Rates and Expected Inflation (2007)Pension saving schemes with return smoothing mechanism (2013)Ageing-Driven Pension Reforms (2016)Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan (2019)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Measuring systemic risk: A risk management approach (2005)Supply chain risk management and performance (2007)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Financial Intermediation and Delegated Monitoring (1984)Myopic Loss Aversion and the Equity Premium Puzzle (1995)
this work references cited by second hop

References

  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2001Value at Risk846 cited
  • 1963Risk and uncertainty: a fallacy of large numbers615 cited
  • 1995The impact of default risk on the prices of options and other derivative securities324 cited
  • 2000Value at Risk313 cited
  • 2000Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices204 cited

Cited by

  • 2004The Role of Real Estate in an Institutional Investor's Portfolio Revisited67 cited
  • 2007Valuation of intergenerational transfers in funded collective pension schemes58 cited
  • 2005Alpha Hunters and Beta Grazers50 cited
  • 2003Harry Markowitz and the Discretionary Wealth Hypothesis47 cited
  • 2009First-passage probability, jump models, and intra-horizon risk40 cited
  • 2009Backtesting Value-at-Risk Models36 cited
  • 2006Scenario optimization asset and liability modelling for individual investors33 cited
  • 2010Application of VaR in emerging markets: A case of selected Central and Eastern European Countries20 cited

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  • 2005Within-horizon exposure to loss for dollar cost averaging and lump sum investing19 cited