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A general approach to integrated risk management with skewed, fat-tailed risks

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Rosenberg, Joshua V.
Schuermann, Til

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 79 (2006)
Issue (Month): 3 (March)
Pages: 569-614
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Handle: RePEc:eee:jfinec:v:79:y:2006:i:3:p:569-614

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  1. Scheicher, Martin & Raunig, Burkhard, 2008. "A value at risk analysis of credit default swaps," Discussion Paper Series 2: Banking and Financial Studies 2008,12, Deutsche Bundesbank, Research Centre. [Downloadable!]
  2. Til Schuermann & Kevin J. Stiroh, 2006. "Visible and hidden risk factors for banks," Staff Reports 252, Federal Reserve Bank of New York. [Downloadable!]
  3. Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger. [Downloadable!]
  4. Paola Palmitesta & Corrado Provasi, 2005. "Aggregation of Dependent Risks Using the Koehler–Symanowski Copula Function," Computational Economics, Springer, vol. 25(1), pages 189-205, February. [Downloadable!] (restricted)
  5. Jan Pieter Krahnen & Christian Wilde, 2006. "Risk Transfer with CDOs and Systemic Risk in Banking," CFS Working Paper Series 2006/04, Center for Financial Studies. [Downloadable!]
    Other versions:
  6. Carey, Mark & Stulz, Rene M., 2005. "The Risks of Financial Institutions," Working Paper Series 2005-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  7. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2008. "Regulatory capital for market and credit risk interaction: is current regulation always conservative?," Discussion Paper Series 2: Banking and Financial Studies 2008,14, Deutsche Bundesbank, Research Centre. [Downloadable!]
  8. Mark Carey & Rene M. Stulz, 2007. "Introduction to "The Risks of Financial Institutions"," NBER Chapters, in: The Risks of Financial Institutions, pages 1-26 National Bureau of Economic Research, Inc. [Downloadable!]
  9. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173. [Downloadable!]
  10. L. Ingber, . "Statistical mechanics of neocortical interactions: Portfolio of physiological indicators," Lester Ingber Papers 06pp, Lester Ingber. [Downloadable!]
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  11. Gabriel Jiménez & Javier Mencía, 2007. "Modeling the distribution of credit losses with observable and latent factors," Banco de España Working Papers 0709, Banco de España. [Downloadable!]
  12. Mark Carey & Rene M. Stulz, 2005. "The Risks of Financial Institutions," NBER Working Papers 11442, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Alexandru Stanga, 2008. "Measuring market risk: a copula and extreme value approach," Advances in Economic and Financial Research - DOFIN Working Paper Series 13, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
  14. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger. [Downloadable!]
  15. Laurent Devineau & Stéphane Loisel, 2009. "Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?," Working Papers hal-00403662_v2, HAL. [Downloadable!]
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