1. Luc, BAUWENS & G., STORTI, 2007. "A Component GARCH Model with Time Varying Weights," Discussion Papers (ECON - Département des Sciences Economiques) 2007012, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
   Other versions:
   • BAUWENS, Luc & STORTI, Giuseppe, 2007. "A component GARCH model with time varying weights," CORE Discussion Papers 2007019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
   • Giuseppe Storti & Luc Bauwens, 2006. "A component GARCH model with time varying weights," Computing in Economics and Finance 2006 388, Society for Computational Economics.
   • Luc Bauwens & Giuseppe Storti, 2009. "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 13(2). [Downloadable!]
2. Winter, Peter, 2007. "Managerial Risk Accounting and Control – A German perspective," MPRA Paper 8185, University Library of Munich, Germany. [Downloadable!]
3. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany. [Downloadable!]
4. J. ANNAERT & Crispiniano Garcia Joao Batista & J. LAMOOT & G. LANINE, 2006. "Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/367, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
5. Albrecht, Peter, 2003. "Risk Measures," Sonderforschungsbereich 504 Publications 03-01, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
6. Péter Csóka & Jean-Jacques Herings & László Kóczy, 2006. "Coherent Measures of Risk from a General Equilibrium Perspective," IEHAS Discussion Papers 0611, Institute of Economics, Hungarian Academy of Sciences, revised 30 Aug 2006. [Downloadable!]
   Other versions:
   • Csóka, Péter & Herings, P. Jean-Jacques & Kóczy, László Á., 2006. "Coherent Measures of Risk from a General Equilibrium Perspective," Research Memoranda 016, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
   • Csoka, Peter & Herings, P. Jean-Jacques & Koczy, Laszlo A., 2007. "Coherent measures of risk from a general equilibrium perspective," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2517-2534, August. [Downloadable!] (restricted)
7. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January. [Downloadable!] (restricted)
   Other versions:
   • Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance 0406004, EconWPA, revised 06 Apr 2005. [Downloadable!]
8. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, EconWPA. [Downloadable!]
9. Peter Csoka & P. Jean-Jacques Herings, & Laszlo A. Koczy, 2007. "Stable Allocations of Risk," IEHAS Discussion Papers 0704, Institute of Economics, Hungarian Academy of Sciences. [Downloadable!]
   Other versions:
   • Csóka, Péter & Herings, P. Jean-Jacques & Kóczy, László Á,, 2007. "Stable Allocations of Risk," Research Memoranda 040, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
   • Péter Csóka & P. Jean-Jacques Herings & László Á. Kóczy, 2007. "Stable Allocations of Risk," Working Paper Series 0802, Budapest Tech, Keleti Faculty of Economics, revised Apr 2008. [Downloadable!]
   • Csóka, Péter & Herings, P. Jean-Jacques & Kóczy, László Á., 2009. "Stable allocations of risk," Games and Economic Behavior, Elsevier, vol. 67(1), pages 266-276, September. [Downloadable!] (restricted)
10. 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!]
11. Tilke, Stephan, 2006. "Reducing asset weights’ volatility by importance sampling in stochastic credit portfolio optimization," Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 417, University of Regensburg, Department of Economics. [Downloadable!]
12. Bertrand Rime, 2007. "Could Regional and Cantonal Banks Reduce Credit Risk through National Diversification?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 143(I), pages 49-65, March. [Downloadable!]
13. Xavier De Scheemaekere, 2008. "Dynamic risk indifference pricing in incomplete markets," Working Papers CEB 08-027.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
    Other versions:
    • Xavier De Scheemaekere, 2009. "Dynamic risk indifference pricing in incomplete markets," Quantitative Finance Papers 0909.3219, arXiv.org. [Downloadable!]
14. 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!]
15. Dirk Tasche, 2005. "Measuring sectoral diversification in an asymptotic multi-factor framework," Quantitative Finance Papers physics/0505142, arXiv.org, revised Jul 2006. [Downloadable!]
16. Raymond Brummelhuis, 2006. "Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients," Birkbeck Working Papers in Economics and Finance 0605, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
17. A. Cherny, 2006. "Weighted V@R and its Properties," Finance and Stochastics, Springer, vol. 10(3), pages 367-393, September. [Downloadable!] (restricted)
18. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265_v1, HAL. [Downloadable!]
19. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2006. "Bootstrap Unit Root Tests: Comparison and Extensions," Research Memoranda 015, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    Other versions:
    • Franz C. Palm & Stephan Smeekes & Jean-Pierre Urbain, 2008. "Bootstrap Unit-Root Tests: Comparison and Extensions," Journal of Time Series Analysis, Blackwell Publishing, vol. 29(2), pages 371-401, 03. [Downloadable!] (restricted)
20. Imen Bentahar, 2006. "Tail Conditional Expectation for vector-valued Risks," SFB 649 Discussion Papers SFB649DP2006-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
21. Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, EconWPA. [Downloadable!]
22. Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Cahiers de la Maison des Sciences Economiques b05078, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
    Other versions:
    • Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00196443_v1, HAL. [Downloadable!]
23. 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!]
24. Imre Kondor & Szilard Pafka & Gabor Nagy, 2006. "Noise sensitivity of portfolio selection under various risk measures," Quantitative Finance Papers physics/0611027, arXiv.org. [Downloadable!]

This page was last updated on 2009-12-3.