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Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
16 references·16 citing·42 second hopsampled
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices (2000)Value-at-Risk Based Risk Management: Opti…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Risk management lessons from Long‐Term Capital Management (2000)Risk management lessons from …Coherent Measures of Risk (1999)Coherent Measures of Risk1998 Wharton Survey of Financial Risk Management by US Non-Financial Firms (1998)1998 Wharton Survey of Financ…An Overview of Value at Risk (1997)An Overview of Value at RiskValue at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Equilibrium Analysis of Portfolio Insurance (1996)Equilibrium Analysis of Portf…Financial Institutions Management: A Modern Perspective. (1995)Financial Institutions Manage…A variational problem arising in financial economics (1991)A variational problem arising…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Options on the minimum or the maximum of two risky assets (1982)Options on the minimum or the…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A Stochastic Programming Model (1963)A Stochastic Programming ModelSafety First and Hedging (1955)Safety First and HedgingSafety First and the Holding of Assets (1952)Safety First and the Holding …Proceedings of the Tenth International Conference on Management Science and Engineering Management (2016)Proceedings of the Tenth Inte…Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time (2015)Dynamic mean-risk portfolio s…Bailouts, the Incentive to Manage Risk, and Financial Crises (2009)Bailouts, the Incentive to Ma…Backtesting value-at-risk based on tail losses (2009)Backtesting value-at-risk bas…Time-inconsistency of VaR and time-consistent alternatives (2008)Time-inconsistency of VaR and…The Risks of Financial Institutions (2007)The Risks of Financial Instit…Incentives and risk taking in hedge funds (2007)Incentives and risk taking in…The Risks of Financial Institutions (2005)The Risks of Financial Instit…The Risks of Financial Institutions (2005)The Risks of Financial Instit…Backtesting Value-at-Risk: A Duration-Based Approach (2003)Backtesting Value-at-Risk: A …The Mismeasurement of Risk (2002)The Mismeasurement of RiskA comparative study of portfolio insurance (2002)A comparative study of portfo…Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…How Accurate are Value-at-Risk Models at Commercial Banks (2001)How Accurate are Value-at-Ris…Optimal Portfolio Choice Under Loss Aversion (2000)Optimal Portfolio Choice Unde…A Cat Bond Premium Puzzle? (2000)A Cat Bond Premium Puzzle?An Introduction to Copulas (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Determinants of corporate borrowing (1977)A Lattice Framework for Option Pricing with Two State Variables (1988)The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)Non‐additivity in portfolios of exploration activities: a real options‐based analysis of equity alliances in biotechnology (2004)Optimum consumption and portfolio rules in a continuous-time model (1971)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Chance Constrained Programming with Joint Constraints (1965)Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Linear Programming Under Uncertainty (2004)Portfolio Choice Problems (2010)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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)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)Testing Density Forecasts, With Applications to Risk Management (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 1963A Stochastic Programming Model575 cited
  • 1982Options on the minimum or the maximum of two risky assets553 cited
  • 19981998 Wharton Survey of Financial Risk Management by US Non-Financial Firms552 cited
  • 2000Risk management lessons from Long‐Term Capital Management388 cited
  • 1955Safety First and Hedging341 cited
  • 1996Equilibrium Analysis of Portfolio Insurance299 cited
  • 1991A variational problem arising in financial economics229 cited
  • 1995Financial Institutions Management: A Modern Perspective.

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223 cited

Cited by

  • 2007Incentives and risk taking in hedge funds165 cited
  • 2000A Cat Bond Premium Puzzle?133 cited
  • 2000Optimal Portfolio Choice Under Loss Aversion122 cited
  • 2003Backtesting Value-at-Risk: A Duration-Based Approach119 cited
  • 2007The Risks of Financial Institutions115 cited
  • 2005The Risks of Financial Institutions107 cited
  • 2005The Risks of Financial Institutions95 cited
  • 2002The Mismeasurement of Risk80 cited
  • 2001How Accurate are Value-at-Risk Models at Commercial Banks76 cited
  • 2001Modeling and Forecasting Realized Volatility75 cited
  • 2002A comparative study of portfolio insurance72 cited
  • 2008Time-inconsistency of VaR and time-consistent alternatives69 cited
  • 2016Proceedings of the Tenth International Conference on Management Science and Engineering Management60 cited
  • 2009Backtesting value-at-risk based on tail losses56 cited
  • 2009Bailouts, the Incentive to Manage Risk, and Financial Crises52 cited
  • 2015Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time48 cited