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Undated material is presented at the end, although it may be more recent than other items
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- 2160956 Backtesting value-at-risk accuracy: a simple new test
by Christophe Hurlin & Sessi Tokpavi * - 2160957 Determinants of operational risk reporting in the banking industry
by Günther Helbok & Christian Wagner - 2160961 Testing hedge effectiveness for option positions
by Jeroen Kerkhof & Bertrand Melenberg & J. M. Schumacher* - 2160962 The price of pension risks
by S. G. (Fieke) Van der Lecq & Adri W.I.M. Van der Wurff - 2160963 Copula parameter estimation: numerical considerations and implications for risk management
by Gregor N. F. Weiß - 2160964 Evaluation of credit portfolio models: test statistics for density-based tests
by Kilian Plank & Roland Walter - 2160965 A review of backtesting and backtesting procedures
by Sean D. Campbell - 2160967 On testing the equality of multiple Sharpe ratios, with application on the evaluation of iShares
by Pui-Lam Leung & Wing-Keung Wong - 2160970 Long–short portfolio optimization in the presence of discrete asset choice constraints and two risk measures
by Ritesh Kumar & Gautam Mitra & Diana Roman - 2160971 Scenario-based principal component value-at- risk when the underlying risk factors are skewed and heavy-tailed: an application to Italian banks' interest rate risk exposure
by Roberta Fiori and Simonetta Iannotti - 2160972 Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks: a multivariate nonparametric approach
by Sandra Gaisser & Christoph Memmel & Rafael Schmidt & Carsten S.Wehn - 2160974 Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation
by Klaus Böcker & Martin Hillebrand - 2160975 The marginal price of risk with a VaR constraint
by Larry Eisenberg - 2160976 Corporate risk management and speculative motives
by Gregory W. Brown & Zeigham I. Khokher - 2160977 An intensity-based non-parametric default model for residential mortgage portfolios
by Jürg Burkhard & Enrico De Giorgi - 2160978 An estimation-free, robust conditional value-at-risk allocation model
by Carlos Jabbour & Javier F. Peña & Juan C. Vera & Luis F. Zuluaga - 2160979 Alternative risk measures for alternative investments
by A. Chabaane & J.-P. Laurent & Y. Malevergne & F.Turpin - 2160980 Hedging: scaling and the investor horizon
by John Cotter & Jim Hanly - 2160981 Yield curve risk management: adjusting principal component analysis for model errors
by Nicola Carcano - 2160982 Monte Carlo market Greeks in the displaced diffusion Libor market model
by Mark S. Joshi & Oh Kang Kwon - 2160983 Estimating foreign currency exposure in the Canadian Department of National Defence
by Paul E. Desmier - 2160984 Estimating future transition probabilities when the value of side information decays, with applications to credit modeling
by Craig Friedman & Jinggang Huang & Yangyong Zhang - 2160985 Empirical analysis of asymmetric long memory volatility models in value-at-risk estimation
by Zouheir Mighri & Khaled Mokni & Faysal Mansouri - 2160986 The German model of risk distribution in supplementary occupational pensions
by Csaba Burger & Gordon L. Clark - 2160987 Optimal early withdrawal and valuation of finite-horizon fund protection options
by Tiong Wee Lim - 2160988 Comparative analysis of total risk-based performance measures
by Eero Pätäri - 2160990 A value-at-risk analysis of credit default swaps
by Burkhard Raunig & Martin Scheicher - 2160991 Backtesting within the trading book
by Gerhard Stahl & Carsten S.Wehn* & Andreas Zapp - 2160994 Markets, profits, capital, leverage and return
by Peter Carr & Dilip B. Madan & Juan Jose Vicente Alvarez - 2160995 Realized hedge ratio properties, performance and implications for risk management: evidence from the Spanish IBEX 35 spot and futures markets
by David G. McMillan & Raquel Quiroga Garcia - 2160997 Mean–variance optimality of a retirement lump sum conversion strategy: implementation in Australia
by Roger Gay - 2160999 Algorithms for handling CVaR constraints in dynamic stochastic programming
by C. Fabian and A. Veszpremi - 2161001 How much is a model upgrade worth?
by Sven Sandow & Jinggang Huang and Craig Friedman - 2161004 Instantaneous caps and floors on the short-rate
by Snorre Lindset - 2161008 Backtesting risk methodologies from one day to one year
by Gilles Zumbach - 2161010 Backtesting market risk models in a standard normality framework
by Kevin Dowd - 2161011 Misspecified likelihood function and value-at-risk Italian banks' interest rate risk exposure
by Ebenezer Asem - 2161012 On the aggregation of risk
by Michael Brockmann & Michael Kalkbrener - 2161016 A conditional approach for risk estimation
by Beatriz Vaz de Melo Mendes - 2161017 Time-scaling of value-at-risk in GARCH(1,1) and AR(1)–GARCH(1,1) processes
by Raymond Brummelhuis and Roger Kaufmann - 2161018 Measurement of large hedgers and large speculators' risk in major US futures markets
by Ikhlaas Gurrib - 2161019 Systematic credit cycle risk of financial collaterals: modeling and evidence
by Marc Gürtler* & Dirk Heithecker - 2161022 Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications to finance
by Csaba I. Fábián & Anna Veszprémi - 2161023 On correlating Lévy processes
by Ernst Eberlein & Dilip B. Madan - 2161024 Compound scenarios: an efficient framework for integrated market–credit risk
by Ben De Prisco & Ian Iscoe & Yijun Jiang & Helmut Mausser - 2161026 A practical guide to volatility forecasting through calm and storm
by Christian Brownlees & Robert Engle & Bryan Kelly - 2161031 Empirical likelihood for value-at-risk and expected shortfall
by Rafet Evren Baysal & Jeremy Staum - 2161032 Competitive equilibrium in insurance markets under adverse selection and non-expected utility
by Niousha Shahidi - 2161033 Tail approximation for credit risk portfolios with heavy-tailed risk factors
by Krassimir Kostadinov - 2161034 Capturing fat-tail risk in exchange rate returns using SU curves: a comparison with the normal mixture and skewed Student distributions
by Pedro Gurrola - 2161035 Rating targeting and dynamic economic capital
by Esa Jokivuolle & Samu Peura - 2161036 Target-date funds: good news and bad news
by Laurence Booth & Bin Chang - 2161037 Fully flexible extreme views
by Attilio Meucci & David Ardia & Simon Keel - 2161038 High-conviction equity portfolio optimization
by Dominiek P. Crezée & Laurens A. P. Swinkels - 2161040 Optimal early withdrawal and valuation of finite-horizon fund protection options
by Tiong Wee Lim - 2161041 Integrating multi-market risk models
by Peter G. Shepard - 2161042 Optimal portfolios from ordering information
by Robert Almgren & Neil Chriss - 2161043 A perturbative formula to price barrier options with time-dependent parameters in the Black and Scholes world
by Lorella Fatone & Maria Cristina Recchioni & Francesco Zirilli - 2161044 Valuation and hedging of weather derivatives on monthly average temperature
by Yuji Yamada - 2161045 Expansion methods applied to asset return distributions
by Kohei Marumo & Rodney Wolff - 2161048 GARCH-type volatility models based on Brownian inverse Gaussian intra-day return processes
by J. H. Venter & P. J. de Jongh & G. Griebenow - 2161050 Quality control of risk measures: backtesting VAR models
by Victor H. de la Pena & Ricardo Rivera & Jesus Ruiz-Mata - 2161051 Minimizing tracking error while restricting the number of assets
by Thomas F. Coleman & Yuying Li & Jay Henniger - 2161052 Joint and conditional transformed t mixture models with applications to financial and economic data
by Craig Friedman & Wenbo Cao & Jinggang Huang & Yangyong Zhang - 2161053 The hidden risks of optimizing bond portfolios under VAR
by Peter Winker and Dietmar Maringer - 2161054 Min-Max robust and CVaR robust mean-variance portfolios
by Lei Zhu & Thomas F. Coleman & Yuying Li - 2161055 A parallel time stepping approach using meshfree approximations for pricing options with non-smooth payoffs
by A. Q. M. Khaliq & D. A. Voss & G. E. Fasshauer - 2161057 Ordered contribution allocations: theoretical properties and applications
by Patrick Cheridito & Eduard Kromer - 2161058 Value-at-risk and extreme value distributions for financial returns
by Konstantinos Tolikas - 2161059 Risk estimation using the multivariate normal inverse Gaussian distribution
by Kjersti Aas & Ingrid Hobæk Haff and Xeni K. Dimakos - 2161061 Using Tukey's g and h family of distributions to calculate value-at-risk and conditional value-at-risk
by José Alfredo Jiménez & Viswanathan Arunachalam - 2161062 Testing hedges under the standard tranched credit pricing model
by Christopher C. Finger - 2161064 How much structure is best? A comparison of market model, factor model and unstructured equity covariance matrices
by Beat G. Briner & Gregory Connor - 2161071 Calculating credit risk capital charges with the one-factor model
by Susanne Emmer & Dirk Tasche - 2161075 Central bank vulnerability and the credibility of its commitments: a value-at-risk approach
by Mario I. Blejer & Liliana Schumacher - 2161076 Market risk computation for nonlinear portfolios
by Gerold Studer - 2161077 Measuring risk-adjusted performance
by Michel Crouhy and Stuart M. Turnbull & Lee M. Wakeman - 2161078 Statistical benefits of value-at-risk with long memory
by Andrea Beltratti & Claudio Morana - 2161079 Conditional value-at-risk estimation using non-integer values of degrees of freedom in Student's t-distribution
by Andriy Andreev & Antti Kanto - 2161081 VaR-x: Fat tails in financial risk management
by Ronald Huisman and Rachel A. J. Pownall & Kees G. Koedijk - 2161083 The Cornish–Fisher expansion in the context of Delta–Gamma-normal approximations
by Stefan R. Jaschke - 2161085 Computation of value-at-risk for nonlinear portfolios
by Andrey Feuerverger & Augustine C. M. Wong - 2161086 Risk measurement with integrated market and credit portfolio models
by Peter Grundke - 2161088 Discrete hedging under piecewise linear risk minimization
by Thomas F. Coleman & Yuying Li & Maria-Cristina Patron - 2161092 Selecting an innovation distribution for Garch models to improve efficiency of risk and volatility estimation
by J. H.Venter and P. J. de Jongh - 2161094 Evaluating covariance matrix forecasts in a value-at-risk framework
by Jose A. Lopez & Christian A. Walter - 2161095 Large stock market price drawdowns are outliers
by Anders Johansen & Didier Sornette - 2161096 Space–time diversification: which dimension is better?
by Moshe Arye Milevsky - 2161097 A conditional independence approach for portfolio risk evaluation
by Yukio Muromachi - 2161099 Pricing corporate bonds with dynamic default barriers
by Cho-Hoi Hui & Chi-Fai Lo & Shun-Wai Tsang - 2161100 Evaluating the risk of portfolios with options
by Elizabeth A. Sheedy and Robert G. Trevor - 2161101 Value-at-risk estimation using non-integer degrees of freedom of Student's distribution
by Veli-Pekka Heikkinen & Antti Kanto - 2161103 An analysis of risk measures
by Guojun Wu & Zhijie Xiao - 2161104 Fifty years of UK asset price volatility
by Nicola Anderson & Francis Breedon - 2161105 The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders revisited
by Robert R. Bliss & David C. Smith - 2161108 Numerically stable computation of Credit Risk+
by Hermann Haaf & Oliver Reiß & John Schoenmakers - 2161109 A robust test of Merton's structural model for credit risk
by Robert Jarrow & Donald R. van Deventer & Xiaoming Wang - 2161111 Conditional value-at-risk in the presence of multiple probability measures
by Craig Friedman - 2161113 Derivatives and risk: the case of thrifts
by Arthur M. B. Hogan and David H. Malmquist - 2161114 Vega risk and the smile
by Allan M. Malz - 2161115 Closed-form solutions for option pricing in the presence of volatility smiles: a density-function approach
by Dariush Mirfendereski & Riccardo Rebonato - 2161116 A dynamical model of market under- and overreaction
by Jorge R. Sobehart & Ricardo Farengo - 2161117 Operational risk: a practitioner's view
by Silvan Ebnöther and Paolo Vanini & Alexander McNeil & Pierre Antolinez - 2161120 A percolation approach to modeling credit loss distribution under contagion
by Sergio M. Focardi & Frank J. Fabozzi - 2161121 VAR risk measures vs traditional risk measures: an analysis and survey
by Guy Kaplanski & Yoram Kroll - 2161122 First Derivatives National Bank: a case problem in the management of interest rate risk
by Richard J. Rendleman & Jr. - 2161125 Evaluating credit risk models using loss density forecasts
by Hergen Frerichs and Gunter Löffler - 2161127 The effects of jump risks associated with the default rate on credit spreads
by Chang Mo Ahn & Jangkoo Kang & Hwa-Sung Kim - 2161130 Risk management based on stochastic volatility
by Ernst Eberlein & Jan Kallsen and Jörn Kristen - 2161132 Fast computation of efficient portfolios
by Antonio Marcos Duarte & Jr. - 2161133 The quantification of operational risk
by Markus Leippold & Paolo Vanini - 2161134 Synchronizing multivariate financial time series
by Francesco Audrino & Peter Bühlmann - 2161135 Estimating economic capital allocations for market and credit risk
by Paul Kupiec - 2161136 Decomposing portfolio value-at-risk: a general analysis
by Winfried G. Hallerbach - 2161137 An empirical investigation into credit spread indices
by Jean-Luc Prigent & Olivier Renault & Olivier Scaillet - 2161138 Value-at-risk analysis of a leveraged swap
by Sanjay Srivastava - 2161140 Risk analysis and the NIG distribution
by Jostein Lillestøl - 2161142 Optimal ALM strategies for defined benefit pension plans
by Arun S. Muralidhar & Ronald J. P. van der Wouden - 2161143 An empirical comparison of methods for incorporating fat tails into value-at-risk models
by Vijay Pant and Weita Chang - 2161144 A new approach to component VaR
by R. B. Carroll & T. Perry & H. Yang & A. Ho - 2161146 Optimal option portfolios in markets with position limits and margin requirements
by Mordecai Avriel & Haim Reisman - 2161147 Dependent defaults in models of portfolio credit risk
by Rüdiger Frey & Alexander J. McNeil - 2161148 A multivariate Markov model for simulating correlated defaults
by Masaaki Kijima & Katsuya Komoribayashi & Eisuke Suzuki - 2161150 Optimal execution of portfolio transactions
by Robert Almgren & Neil Chriss - 2161152 Credit default swap valuation with counterparty default risk and market risk
by Mi Ae Kim and Tong Suk Kim - 2161154 Portfolio allocation to corporate bonds with correlated defaults
by Mark B. Wise & Vineer Bhansali - 2161155 Risk management and reporting risk in the UK
by Philip Linsley and Philip Shrives - 2161156 Incorporating volatility updating into the historical simulation method for value-at-risk
by John Hull and Alan White - 2161158 Dynamic hedging with a deterministic local volatility function model
by Thomas F. Coleman & Yohan Kim & Yuying Li & Arun Verma - 2161159 Optimization of conditional value-at-risk
by R. Tyrrell Rockafellar and Stanislav Uryasev - 2161162 Volatility modeling in the presence of measurement errors
by Jonas Andersson and Anders Ã…gren - 2161163 Nonparametric estimation of copulas for time series
by Jean-David Fermanian & Olivier Scaillet - 2161166 Arbitrage, martingales, and private monetary value
by Robert A. Jarrow & Dilip B. Madan - 2161167 Insurance and reinsurance contracts as complex derivatives: Application to multiple peril policies
by Alan R. Jung & Cyrus A. Ramezani - 2161169 Optimal slice of a block trade
by Hizuru Konishi and Naoki Makimoto - 2161170 Incorporating severity variations into credit risk
by Peter Bürgisser & Alexandre Kurth & and Armin Wagner - 2161171 Bits, bets, and making book on an index
by George S. Oldfield - 2161172 Modeling drawdowns and drawups in financial markets
by Beatriz Vaz de Melo Mendes & Vinicius Ratton Brandi - 2161173 Testing a three-state model in currency derivative markets
by Ako Doffou & Jimmy E. Hilliard - 2161174 Bias and consistency of the maximum Sharpe ratio
by Ross A. Maller & Robert B. Durand & Peter T. Lee - 2161175 Evolving yield curves in the real-world measures: a semi-parametric approach
by Riccardo Rebonato & Sukhdeep Mahal & Mark Joshi & Lars-Dierk Buchholz & Ken Nyholm - 2161176 Is implied volatility an informationally efficient and effective predictor of future volatility?
by Louis Ederington & Wei Guan - 2161177 Robust conditional variance estimation and value-at-risk
by Cherif Guermat and Richard D. F. Harris - 2161178 Identification of investor's risk aversion in portfolio optimization
by Alexei V. Gretchikha - 2161179 A uniform approach to static replication
by Andrew Chou and Galin Georgiev - 2161180 Improving grid-based methods for estimating value-at-risk of fixed-income portfolios
by Michael S. Gibson and Matthew Pritsker - 2161181 Value-at-risk using the factor-ARCH model
by Charlotte Christiansen - 2161182 On the usefulness of implied risk-neutral distributions – evidence from the Korean KOSPI 200 Index options market
by In Joon Kim and Sol Kim - 2161183 Capital allocation with value-at-risk – the case of informed traders and herding
by Hans-Peter Burghof & Tanja Sinha - 2161184 Managing the risk of relative price changes by splitting index-linked bonds
by Andrew R. Aziz & Eliakim Katz & Eliezer Z. Prisman - 2161185 How to account for extreme co-movements between individual stocks and the market
by Y. Malevergne & D. Sornette - 2161188 Assessing fiscal sustainability under uncertainty
by Theodore M. Barnhill & Jr & George Kopits - 2161190 Coherent allocation of risk capital
by Michel Denault - 2161192 Biases in estimating bank loan default probabilities
by Thomas Mählmann - 2161193 Risk estimation using the normal inverse Gaussian distribution
by Johannes H.Venter and Pieter J. de Jongh - 2161194 Power options: hedging nonlinear risks
by Robert G. Tompkins - 2161196 Basket default swaps, CDOs and factor copulas
by Jean-Paul Laurent & Jon Gregory - 2161200 Value-at-risk and market crashes
by Chris Brooks and Gita Persand - 2161203 Portfolio optimization with conditional value-at-risk objective and constraints
by Pavlo Krokhmal and Stanislav Uryasev & Jonas Palmquist - 2161206 Using value-at-risk to control risk taking: how wrong can you be?
by Xiongwei Ju and Neil D. Pearson - 2161207 Comparison of cashflow maps for value-at-risk
by Marc Henrard - 2161208 Interest rate model risk: an overview
by Rajna Gibson & François-Serge Lhabitant & Nathalie Pistre & and Denis Talay - 2161209 Currency dependence of corporate credit spreads
by Rainer Jankowitsch & Stefan Pichler - 2161210 Economic capital for life insurance with-profit long-term business funds
by Bruce T. Porteous - 2161211 On the aggregation of local risk models for global risk management
by Greg Anderson & Lisa Goldberg & Alec N. Kercheval & Guy Miller & Kathy Sorge - 2164365 Value-at-risk and ruin probability
by Jiandong Ren - 2164370 Fitting the generalized Pareto distribution to commercial fire loss severity: evidence from Taiwan
by Wo-Chiang Lee - 2180950 Efficient pricing and Greeks in the cross-currency LIBOR market model
by Chris J. Beveridge & Mark S. Joshi and Will M. Wright - 2180969 Cashflow replication with mismatch constraints
by Wei Chen and Jimmy Skoglund - 2207090 Failure of the saddlepoint method in the presence of double defaults
by Eva Lütkebohmert - 2207102 Pricing to acceptability: with applications to valuation of one’s own credit risk
by Ernst Eberlein & Thomas Gehrig and Dilip B. Madan - 2207109 Sample tangency portfolio, representativeness and ambiguity: impact of the law of small numbers
by Ghislain Yanou - 2222123 Measuring risk for large hedgers and large speculators in major US futures markets
by Ikhlaas Gurrib - 2223778 Are real investment decisions based on risk-adjusted performance measures consistent with maximizing shareholder value?
by Niklas Lampenius - 2223785 The Sharpe ratio efficient frontier
by David H. Bailey and Marcos López de Prado - 2253117 Asset allocation with conditional value-at-risk budgets
by Kris Boudt & Peter Carl and Brian G. Peterson - 2253123 On the reliability of integrated risk measurement in practice
by Peter Grundke - 2275335 Deriving the minimal amount of risk capital for property-liability insurance companies utilizing asset liability management
by Matthias Schmautz and Niklas Lampenius - 2275355 An alternative explanation for the variation in reported estimates of risk aversion
by Donal O’Neill and Denis Conniffe - 2292453 Portfolio risk forecasting
by Valentin Braun and Andreas Hackethal - 2292457 The impact of collateralized debt obligation arbitrage on tranching and financial leverage of structured finance securities
by Alfred Hamerle & Thilo Liebig and Hans-Jochen Schropp - 2292460 Alternative hedging in a discrete-time incomplete market
by Norman Josephy & Lucia Kimball and Victoria Steblovskaya - 2292465 Modified expected shortfall: a new robust coherent risk measure
by Deepak Jadhav & T. V. Ramanathan and U. V. Naik-Nimbalkar - 2316811 Modeling risk-weighted assets and the risk sensitivity of related capital requirements
by Ernst Eberlein & Dilip Madan and Wim Schoutens - 2316815 Dynamic linkages in credit risk: modeling the time-varying correlation between the money and derivatives markets over the crisis period
by Weiou Wu and David McMillan - 2316818 The valuation of credit default swaps including investor–counterparty–reference entity default correlation
by Gunter Meissner & Dallyn Mesarch and Alexey Olkov - 2316821 Approximating the multivariate distribution of time-aggregated stock returns under GARCH
by Jean-Guy Simonato - 2328142 Asymptotic equivalence of conservative value-at-risk- and expected shortfall-based capital charges
by Giovanni Puccetti and Ludger Rüschendorf - 2340051 Testing for GARCH effects with quasilikelihood ratios
by Richard Luger - 2340057 Nonparametric forward-looking value-at-risk
by Marcus Nossman and Anders Vilhelmsson - 2340061 Identifying mixture copula components using outlier detection methods and goodness-of-fit tests
by Gregor N. F. Weiß - 2340067 A test for the equality of multiple Sharpe ratios
by John Alexander Wright & Sheung Chi Phillip Yam and Siu Pang Yung - 2347689 Pitfalls and solutions in current risk management methodology
by Cristina Danciulescu - 2347704 Risk evaluation of mortgage-loan portfolios in a low interest rate environment
by Masaaki Kijima & Youichi Suzuki and Yasuhiro Tamba - 2360424 General covariance, the spectrum of Riemannium and a stress test calculation formula
by Piotr Chmielowski - 2360433 Modeling a risk-based criterion for a portfolio with options
by Geng Deng & Tim Dulaney & Craig McCann - 2360444 Suitability of capital allocations for performance measurement
by Eduard Kromer & Ludger Overbeck - 2360448 A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents
by Samuel Drapeau & Michael Kupper & Antonis Papapantoleon - 2376591 Numerical experiments on hedging cliquet options
by Fiodar Kilin & Morten Nalholm & and Uwe Wystup