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Cited by

• 2015Filtered Historical Simulation Value-at-Risk Models and Their Competitors58 cited
• 1998On the Accuracy of VaR Estimates Based on the Variance-Covariance Approach45 cited
• 2002Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation42 cited
• 2001Jumps and time-varying correlations in daily foreign exchange rates38 cited
• 2001Pricing Default Swaps: Empirical Evidence31 cited
• 2006Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling24 cited
• 2010Value at Risk24 cited
• 2001Swap Pricing with Two-Sided Default Risk in a Rating-Based Model21 cited
• 2001Corporate Hedging and Speculative Incentives: Implications for Swap Market Default Risk18 cited
• 2016SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST17 cited
• 2000Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models17 cited
• 2014Risk Management: An Interdisciplinary Framework0 cited