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A Generalized Error Distribution Copula-based method for portfolios risk assessment
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A Generalized Error Distribution Copula-based method for portfolios risk assessment (2019)A Generalized Error Distribution Copula-b…RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentCopula Theory and Its Applications (2010)Copula Theory and Its Applica…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing (2005)Fat-Tailed and Skewed Asset R…Value-at-risk versus expected shortfall: A practical perspective (2004)Value-at-risk versus expected…A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)A Comparison of VaR and CVaR …Market risk in commodity markets: a VaR approach (2003)Market risk in commodity mark…On the coherence of expected shortfall (2002)On the coherence of expected …How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)How Accurate Are Value‐at‐Ris…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio optimization with c…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Introduction to Copulas (1999)An Introduction to CopulasAn Overview of Value at Risk (1997)An Overview of Value at RiskCorrelation 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)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Statistical Modeling of Spatial Extremes (2012)Optimization of conditional value-at-risk (2000)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)PORTFOLIO SELECTION* (1952)Making and Evaluating Point Forecasts (2011)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Extreme-Value Copulas (2010)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)A review of quantification methodologies for multi-hazard interrelationships (2019)Conditional value-at-risk: optimization algorithms and applications (2002)Monte Carlo sampling-based methods for stochastic optimization (2014)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 2007The t Copula and Related Copulas964 cited
  • 2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
  • 2010Copula Theory and Its Applications669 cited
  • 2015RiskMetrics Technical Document661 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
  • 2004Value-at-risk versus expected shortfall: A practical perspective334 cited
  • 2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model333 cited
  • 2003Market risk in commodity markets: a VaR approach263 cited
  • 2005Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing

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