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The Present and Future of Financial Risk Management
16 references·9 citing·44 second hop
The Present and Future of Financial Risk Management (2005)The Present and Future of Financial Risk …Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…Does Arbitrage Flatten Demand Curves for Stocks? (2002)Does Arbitrage Flatten Demand…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…The consolidation of the financial services industry: Causes, consequences, and implications for the future (1999)The consolidation of the fina…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Coherent Measures of Risk (1999)Coherent Measures of RiskThe theory of financial intermediation (1997)The theory of financial inter…The Limits of Arbitrage (1995)The Limits of ArbitragePositive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1989)Positive Feedback Investment …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…DISPARITIES IN THE PERCEPTION OF BUSINESS RISKS IN CONNECTION WITH THE ACHIEVED EDUCATION OF THE OWNER/MANAGER AND DOING BUSINESS (2021)DISPARITIES IN THE PERCEPTION…Remodeling of risk management in banking: evidence from the sub-continent and gulf (2013)Remodeling of risk management…Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets (2011)Value-at-risk for long and sh…Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model (2010)Forecasting financial volatil…Defining and measuring business risk in an economic‐capital framework (2008)Defining and measuring busine…Risk Capital Aggregation (2007)Risk Capital AggregationValue‐at‐risk under extreme values: the relative performance in MENA emerging stock markets (2006)Value‐at‐risk under extreme v…Copula-Based Top-Down Approaches in Financial Risk Aggregation (2006)Copula-Based Top-Down Approac…On a multivariate Markov chain model for credit risk measurement (2005)On a multivariate Markov chai…An Introduction to Copulas (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)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)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Financing Constraints and Corporate Investment (1988)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)Entrepreneurship and Bank Credit Availability (2002)What Drives Bank Competition? Some International Evidence (2004)The dark side of diversification: The case of US financial holding companies (2005)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)The General Theory of Employment, Interest and Money. (1936)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)The impact of institutional trading on stock prices (1992)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1999The consolidation of the financial services industry: Causes, consequences, and implications for the future1,480 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 1997The theory of financial intermediation938 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2002Does Arbitrage Flatten Demand Curves for Stocks?861 cited

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  • 1989Positive Feedback Investment Strategies and Destabilizing Rational Speculation804 cited
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    • 2008Defining and measuring business risk in an economic‐capital framework51 cited
    • 2007Risk Capital Aggregation46 cited
    • 2005On a multivariate Markov chain model for credit risk measurement43 cited
    • 2010Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model37 cited
    • 2011Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets34 cited
    • 2006Copula-Based Top-Down Approaches in Financial Risk Aggregation33 cited
    • 2006Value‐at‐risk under extreme values: the relative performance in MENA emerging stock markets28 cited
    • 2013Remodeling of risk management in banking: evidence from the sub-continent and gulf27 cited
    • 2021DISPARITIES IN THE PERCEPTION OF BUSINESS RISKS IN CONNECTION WITH THE ACHIEVED EDUCATION OF THE OWNER/MANAGER AND DOING BUSINESS16 cited