Add to ORKGStochastic duration is examined a general measure of risk for use in assessing financial futures
Student no. 1824821 (VU), WMiI/69/04/05 (UJ) Dynamic risk measures. Robust representation and exampl...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
The main topic of the thesis is to study different measures of risk. It is mentioned here fundamenta...
Stochastic duration is examined a general measure of risk for use in assessing financial futures
We introduce a class of models for the analysis of durations, which we call stochastic conditional d...
With the new regulations of Basel III and Solvency II there is a necessity to have tools that can me...
A new model for the analysis of durations, the stochastic conditional duration (SCD) model, is intro...
Multi-period measures of risk account for the path that the value of an investment portfolio takes. ...
Multi-period measures of risk account for the path that the value of an investment portfolio takes. ...
Riedel F. Dynamic Coherent Risk Measures. Stochastic Processes and Their Applications. 2004;112(2):1...
Abstract. Equity duration offers an interesting new approach to measuring stock risk. The cross-sect...
We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measur...
Estimating financial risk measures for futures positions: a non-parametric approac
The paper compares a number of available measures of financial risk and presents arguments in favor ...
Abstract. In this paper financial risks for long time horizons are investigated. As measures for the...
Student no. 1824821 (VU), WMiI/69/04/05 (UJ) Dynamic risk measures. Robust representation and exampl...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
The main topic of the thesis is to study different measures of risk. It is mentioned here fundamenta...
Stochastic duration is examined a general measure of risk for use in assessing financial futures
We introduce a class of models for the analysis of durations, which we call stochastic conditional d...
With the new regulations of Basel III and Solvency II there is a necessity to have tools that can me...
A new model for the analysis of durations, the stochastic conditional duration (SCD) model, is intro...
Multi-period measures of risk account for the path that the value of an investment portfolio takes. ...
Multi-period measures of risk account for the path that the value of an investment portfolio takes. ...
Riedel F. Dynamic Coherent Risk Measures. Stochastic Processes and Their Applications. 2004;112(2):1...
Abstract. Equity duration offers an interesting new approach to measuring stock risk. The cross-sect...
We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measur...
Estimating financial risk measures for futures positions: a non-parametric approac
The paper compares a number of available measures of financial risk and presents arguments in favor ...
Abstract. In this paper financial risks for long time horizons are investigated. As measures for the...
Student no. 1824821 (VU), WMiI/69/04/05 (UJ) Dynamic risk measures. Robust representation and exampl...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
The main topic of the thesis is to study different measures of risk. It is mentioned here fundamenta...