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Different Kinds of Risk
16 references·0 citing·33 second hop
Different Kinds of Risk (2009)Different Kinds of RiskCommodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy (2009)Commodities and Commodity Der…Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Quantitative models for opera…Infinite-mean models and the LDA for operational risk (2006)Infinite-mean models and the …Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)The Modelling of Operational …Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)Using copulae to bound the Va…Credit Risk (2003)Credit RiskCredit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Value at Risk (2001)Value at RiskModeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Loss Models: from Data to Decisions. By Stuart Klugman, Harry Panjer and Gordon Willmot [John Wiley & Sons, New York, 1998] (1999)Loss Models: from Data to Dec…Loss Models: From Data to Decisions (1999)Loss Models: From Data to Dec…Coherent Measures of Risk (1999)Coherent Measures of RiskOn cox processes and credit risky securities (1998)On cox processes and credit r…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…An Introduction to Copulas (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)The cost of capital, corporation finance and the theory of investment (2008)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Understanding Relationships Using Copulas (1998)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Measuring systemic risk: A risk management approach (2005)Supply chain risk management and performance (2007)How Profitable Is Capital Structure Arbitrage? (2006)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 1999Loss Models: From Data to Decisions1,232 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2001Value at Risk846 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 2003Credit Risk560 cited
  • 2009Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy302 cited
  • 2003Using copulae to bound the Value-at-Risk for functions of dependent risks278 cited
  • 2006Quantitative models for operational risk: Extremes, dependence and aggregation265 cited
  • 2004The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee251 cited
  • 2006Infinite-mean models and the LDA for operational risk195 cited
  • 1999

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Loss Models: from Data to Decisions. By Stuart Klugman, Harry Panjer and Gordon Willmot [John Wiley & Sons, New York, 1998]
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