An Overview of Value at RiskDarrell Duffie, Jun Pan1997-02-28articleThe Journal of Derivatives1,320 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingStochastic processes and financial applicationsRisk Management in Financial FirmsAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 1,320 citations exist upstream.References1973The Pricing of Options and Corporate Liabilities1986Generalized autoregressive conditional heteroskedasticity1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1991Conditional Heteroskedasticity in Asset Returns: A New Approach1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options1992ARCH modeling in finance1987The Pricing of Options on Assets with Stochastic Volatilities1979Martingales and arbitrage in multiperiod securities marketsCited by2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices2001Modeling and Forecasting Realized Volatility2001Portfolio optimization with conditional value-at-risk objective and constraints2002Putting order in risk measures2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests2000From value at risk to stress testing: The extreme value approach2023ESG shareholder engagement and downside risk