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An introduction to market risk measurement
16 references·0 citing·41 second hop
An introduction to market risk measurement (2002)An introduction to market risk measurement“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …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…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…The portfolio flows of international investors (2001)The portfolio flows of intern…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Extreme Value Distributions: Theory and Applications (2000)Extreme Value Distributions: …Pricing American-style securities using simulation (1997)Pricing American-style securi…A test for independence based on the correlation dimension (1996)A test for independence based…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Temporal Aggregation of Garch Processes (1993)Temporal Aggregation of Garch…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Monte Carlo methods for security pricing (1997)Theory of rational option pricing (2005)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Time-inconsistent Preferences and Consumer Self-Control (1991)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Theory of games and economic behavior (2019)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2000Extreme Value Distributions: Theory and Applications1,010 cited
  • 2001The portfolio flows of international investors956 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 2002

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How Accurate Are Value‐at‐Risk Models at Commercial Banks?
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