SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
CVaR sensitivity with respect to tail thickness
16 references·0 citing·40 second hop
CVaR sensitivity with respect to tail thickness (2012)CVaR sensitivity with respect to tail thi…Sensitivity of portfolio VaR and CVaR to portfolio return characteristics (2012)Sensitivity of portfolio VaR …Tempered stable and tempered infinitely divisible GARCH models (2010)Tempered stable and tempered …Do financial returns have finite or infinite variance? A paradox and an explanation (2010)Do financial returns have fin…Simulating Sensitivities of Conditional Value at Risk (2008)Simulating Sensitivities of C…What Is a Good External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measures (2007)What Is a Good External Risk …Financial market models with Lévy processes and time-varying volatility (2007)Financial market models with …Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Value-at-Risk Prediction: A C…On the controversy over tailweight of distributions (2004)On the controversy over tailw…Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions (2003)Prediction of Financial Downs…Hyperbolic Processes in Finance (2003)Hyperbolic Processes in Finan…Stationarity of stable power-GARCH processes (2002)Stationarity of stable power-…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Coherent Measures of Risk (1999)Coherent Measures of RiskThe variation of certain speculative prices (1997)The variation of certain spec…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Generalized autoregressive conditional heteroskedasticity (1986)Modelling of extremal events in insurance and finance (1994)Robust performance hypothesis testing with the Sharpe ratio (2008)The impact of terrorism on financial markets: An empirical study (2010)Financial Network Systemic Risk Contributions (2014)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)The Pricing of Options and Corporate Liabilities (1973)Financial Modelling with Jump Processes (2003)Monte Carlo Methods in Financial Engineering (2003)Computing VAR and AVaR in Infinitely Divisible Distributions (2009)Time series analysis for financial market meltdowns (2010)Tempered Infinitely Divisible Distributions and Processes (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Codifference as a practical tool to measure interdependence (2014)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Simulation Modeling and Analysis. (1983)Optimization of conditional value-at-risk (2000)Conditional Monte Carlo Estimation of Quantile Sensitivities (2009)Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (2014)Optimizing the CVaR via Sampling (2015)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes (2001)Making Markov martingales meet marginals: with explicit constructions (2002)Diffusion-type models with given marginal distribution and autocorrelation function (2005)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1963The Variation of Certain Speculative Prices4,890 cited
  • 1997The variation of certain speculative prices4,513 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies635 cited
  • 2003Hyperbolic Processes in Finance146 cited
  • 2008Simulating Sensitivities of Conditional Value at Risk143 cited
  • 2010Tempered stable and tempered infinitely divisible GARCH models99 cited
  • 2007Financial market models with Lévy processes and time-varying volatility94 cited
  • 2004On the controversy over tailweight of distributions93 cited
  • 2002Stationarity of stable power-GARCH processes83 cited
  • 2003Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions62 cited
  • 2010Do financial returns have finite or infinite variance? A paradox and an explanation60 cited
  • 2007What Is a Good External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measures56 cited
  • 2012

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

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
45 cited

Cited by

No citing works inside the corpus for this window.