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Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors
16 references·16 citing·30 second hopsampled
Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors (2002)Portfolio Value‐at‐Risk with Heavy‐Tailed…Value at Risk (2001)Value at RiskExtreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Optimization of conditional value-at-risk (2000)Optimization of conditional v…On Default Correlation (2000)On Default CorrelationEstimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Introduction to Copulas (1999)An Introduction to CopulasThe variation of certain speculative prices (1997)The variation of certain spec…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…An Overview of Value at Risk (1997)An Overview of Value at RiskHyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Can domestic tourism relieve the COVID-19 tourist industry crisis? The case of Spain (2021)Can domestic tourism relieve …Financial Risk Measurement for Financial Risk Management (2013)Financial Risk Measurement fo…Banking Stability Measures (2012)Banking Stability MeasuresEfficient Risk Estimation via Nested Sequential Simulation (2011)Efficient Risk Estimation via…Banking Stability Measures (2009)Banking Stability MeasuresBanking Stability Measures (2009)Banking Stability MeasuresEstimating Quantile Sensitivities (2008)Estimating Quantile Sensitivi…The limits of diversification when losses may be large (2007)The limits of diversification…Selecting copulas for risk management (2007)Selecting copulas for risk ma…Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2006)Rank-1/2: A Simple Way to Imp…Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Chapter 11 Rare-Event Simulat…Practical Volatility and Correlation Modeling for Financial Market Risk Management (2005)Practical Volatility and Corr…Estimation risk in financial risk management (2005)Estimation risk in financial …Beyond Correlation: Extreme Co-Movements between Financial Assets (2002)Beyond Correlation: Extreme C…An introduction to market risk measurement (2002)An introduction to market ris…Return to RiskMetrics: The Evolution of a Standard (2001)Return to RiskMetrics: The Ev…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)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)ARCH modeling in finance (1992)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 2000On Default Correlation1,257 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 2001Value at Risk846 cited

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Cited by

  • 2007Selecting copulas for risk management288 cited
  • 2021Can domestic tourism relieve the COVID-19 tourist industry crisis? The case of Spain234 cited
  • 2002Beyond Correlation: Extreme Co-Movements between Financial Assets219 cited
  • 2009Banking Stability Measures195 cited
  • 2012Banking Stability Measures195 cited
  • 2006Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances180 cited
  • 2001Return to RiskMetrics: The Evolution of a Standard174 cited
  • 2009Banking Stability Measures169 cited
  • 2006Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents169 cited
  • 2007The limits of diversification when losses may be large166 cited
  • 2005Estimation risk in financial risk management154 cited
  • 2008Estimating Quantile Sensitivities152 cited
  • 2002An introduction to market risk measurement138 cited
  • 2011Efficient Risk Estimation via Nested Sequential Simulation109 cited
  • 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management107 cited
  • 2013Financial Risk Measurement for Financial Risk Management105 cited