VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey
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- Jin Peng, 2011. "Credibilistic value and average value at risk in fuzzy risk analysis," Fuzzy Information and Engineering, Springer, vol. 3(1), pages 69-79, March.
- Danielsson, Jon & Zigrand, Jean-Pierre & Jorgensen, Bjørn N. & Sarma, Mandira & de Vries, C. G., 2006.
"Consistent measures of risk,"
LSE Research Online Documents on Economics
24517, London School of Economics and Political Science, LSE Library.
- Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson, 2006. "Consistent Measures of Risk," FMG Discussion Papers dp565, Financial Markets Group.
- Kaplanski, Guy, 2004. "Traditional beta, downside risk beta and market risk premiums," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 636-653, December.
- Vincenzo Candila, 2013. "A Comparison of the Forecasting Performances of Multivariate Volatility Models," Working Papers 3_228, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno.
- Al Janabi, Mazin A.M., 2014. "Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects," Economic Modelling, Elsevier, vol. 40(C), pages 369-381.
- Gong, Pu & He, Xubiao, 2005. "A risk hedging strategy under the nonparallel-shift yield curve," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 450-462.
- Babat, Onur & Vera, Juan C. & Zuluaga, Luis F., 2018. "Computing near-optimal Value-at-Risk portfolios using integer programming techniques," European Journal of Operational Research, Elsevier, vol. 266(1), pages 304-315.
- Kaplanski, Guy, 2005. "Analytical Portfolio Value-at-Risk," MPRA Paper 80216, University Library of Munich, Germany.
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Keywords
Value-at-Risk; Risk management; Risk measures; Mean-Shortfall;JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other
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