1. Stoughton, Neal & Zechner, Josef, 1999. "Optimal Capital Allocation Using RAROC And EVA," CEPR Discussion Papers 2344, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
2. Christian Gollier & Pierre-François Koehl & Jean-CharlesRochet, 1996. "Risk-Taking Behavior with Limited Liability and Risk Aversion," Center for Financial Institutions Working Papers 96-13, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
3. David F. Babbel & Anthony M. Santomero, 1997. "Risk Management by Insurers: An Analysis of the Process," Center for Financial Institutions Working Papers 96-16, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
4. Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G., 2000. "Portfolio selection with limited downside risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 247-269, November. [Downloadable!] (restricted)

Cited by:
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1. Marno Verbeek & Jeroen VK Rombouts, 2005. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005 40, Society for Computational Economics. [Downloadable!]
   Other versions:
   • Jeroen V.K. Rombouts & Marno Verbeek, 2004. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche 04-14, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
   • Rombouts, J.V.K. & Verbeek, M.J.C.M., 2009. "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," Research Paper ERS-2004-107-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni, revised 24 Mar 2010. [Downloadable!]
   • Jeroen Rombouts & Marno Verbeek, 2009. "Evaluating portfolio Value-at-Risk using semi-parametric GARCH models," Quantitative Finance, Taylor and Francis Journals, vol. 9(6), pages 737-745. [Downloadable!] (restricted)
2. Keel, Simon & Ardia, David, 2009. "Generalized Marginal Risk," MPRA Paper 17258, University Library of Munich, Germany, revised 24 Mar 2010. [Downloadable!]
3. Jeroen Rombouts & E.W. Rengifo, 2004. "Dynamic Optimal Portfolio Selection in a VaR Framework," Cahiers de recherche 04-05, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
   Other versions:
   • RENGIFO, Erick & ROMBOUTS, Jeroen, 2004. "Dynamic optimal portfolio selection in a VaR framework," CORE Discussion Papers 2004057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
4. Klaus Düllmann & Nancy Masschelein, 2007. "A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios," Journal of Financial Services Research, Springer, vol. 32(1), pages 55-79, October. [Downloadable!] (restricted)
5. Tapiero, Charles, 2003. "Risk Management: An Interdisciplinary Framework," ESSEC Working Papers DR 03014, ESSEC Research Center, ESSEC Business School. [Downloadable!]
6. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis," Working Papers 0602, University of Crete, Department of Economics. [Downloadable!]
7. Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
8. Susanne Emmer & Dirk Tasche, 2003. "Calculating credit risk capital charges with the one-factor model," Quantitative Finance Papers cond-mat/0302402, arXiv.org, revised Jan 2005. [Downloadable!]
9. Turan G. Bali & Salih N. Neftci, 2002. "Disturbing Extremal Behavior of Spot Rate Dynamics," ICMA Centre Discussion Papers in Finance icma-dp2002-03, Henley Business School, Reading University. [Downloadable!]
10. Paul Doukhan & Jean-David Fermanian & Gabriel Lang, 2009. "An empirical central limit theorem with applications to copulas under weak dependence," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 65-87, February. [Downloadable!] (restricted)
11. Michael B. Gordy & Sandeep Juneja, 2008. "Nested simulation in portfolio risk measurement," Finance and Economics Discussion Series 2008-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
12. Klaus Düllmann & Nancy Masschelein, 2006. "Sector Concentration in Loan Portfolios and Economic Capital," Research series 200611-17, National Bank of Belgium. [Downloadable!]
13. Albrecht, Peter, 2003. "Risk Based Capital Allocation," Sonderforschungsbereich 504 Publications 03-02, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
14. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    • Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics. [Downloadable!]
    • Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, vol. 71(2), pages 579-625, March. [Downloadable!] (restricted)
15. Solange M. Berstein & Rómulo A. Chumacero, 2003. "Quantifying the Costs of Investment Limits for Chilean Pension Funds," Working Papers Central Bank of Chile 248, Central Bank of Chile. [Downloadable!]
    Other versions:
    • Solange M. Berstein & Rómulo A. Chumacero, 2006. "Quantifying the costs of investment limits for Chilean pension funds," Fiscal Studies, Institute for Fiscal Studies, vol. 27(1), pages 99-123, March.
16. Masschelein, Nancy & Düllmann, Klaus, 2006. "Sector concentration in loan portfolios and economic capital," Discussion Paper Series 2: Banking and Financial Studies 2006,09, Deutsche Bundesbank, Research Centre. [Downloadable!]
17. Berstein, Solange & Chumacero, Rómulo, 2010. "VaR Limits for Pension Funds: An Evaluation," MPRA Paper 22574, University Library of Munich, Germany. [Downloadable!]
18. Simone Manganelli & Vladimiro Ceci & Walter Vecchiato, 2002. "Sensitivity analysis of volatility - a new tool for risk management," Working Paper Series 194, European Central Bank. [Downloadable!]
19. Boudt, Kris & Peterson, Brian & Croux, Christophe, 2007. "Estimation and decomposition of downside risk for portfolios with non-normal returns," MPRA Paper 5427, University Library of Munich, Germany, revised 23 Oct 2007. [Downloadable!]