Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Non-Linear Value-at-Risk

1 references·11 citing·40 second hop

FromToDepth

this work references cited by second hop

References

1997An Overview of Value at Risk1,320 cited

Cited by

2015Risk Estimation via Regression94 cited
2009Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling72 cited
2005The Present and Future of Financial Risk Management68 cited
2017Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement56 cited
2001Efficient Monte Carlo methods for value-at-risk45 cited
2003The practice of Delta–Gamma VaR: Implementing the quadratic portfolio model45 cited
2004Term Structure of Risk Under Alternative Econometric Specifications44 cited
2013Nonlinear portfolio selection using approximate parametric Value-at-Risk39 cited
2004A new Fourier transform algorithm for value-at-risk33 cited
2021Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model24 cited
2006Scenario Based Principal Component Value-at-Risk: An Application to Italian Banks' Interest Rate Risk Exposure24 cited

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