Technical paper/Value-at-risk (VAR)

• Original research

Copulas and portfolio strategies: an applied risk management perspective

• 19 Dec 2014

• Risk management

Analysis of credit portfolio risk using hierarchical multifactor models

• 19 Dec 2014

• Original research

The interrelation of stock markets in China, Taiwan and Hong Kong and their constructional portfolio’s value-at-risk estimate

• 19 Dec 2014

• Original research

Forecasting value-at-risk for frontier stock market indexes using GARCH-type models and extreme value theory: model validation for dynamic models

• 19 Dec 2014

• Original research

Liquidity effects on value-at-risk limits: construction of a new VaR model

• 19 Dec 2014

• Risk management

The mutual-information-based variance–covariance approach: an application to operational risk aggregation in Chinese banking

• 30 Sep 2014

• Original research

Backtesting value-at-risk tail losses on a dynamic portfolio

• 30 Jun 2014

• Risk management

Estimation of risk measures for large credit portfolios

In this paper, saddle point techniques are used in the computation of risk measures for large mark-to-market credit portfolios with stochastic recovery and correlation between obligors depending on the state of the economy.

• 29 Jun 2014

• Risk management

Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

• 29 Jun 2014

• Original research

Hedging crude oil derivatives in GARCH-type models

• 30 Mar 2014

• Original research

Asymptotic equivalence of conservative value-at-risk- and expected shortfall-based capital charges

• 28 Feb 2014

• Risk management

A gradual nonconvexification method for minimizing value-at-risk

• 28 Feb 2014

• Original research

Approximating the multivariate distribution of time-aggregated stock returns under GARCH

• 19 Dec 2013

• Original research

Modeling risk-weighted assets and the risk sensitivity of related capital requirements

• 19 Dec 2013

• Original research

A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests

• 18 Dec 2013

• Original research

Individual and flexible expected shortfall backtesting

• 30 Sep 2013

• Original research

Modified expected shortfall: a new robust coherent risk measure

• 30 Sep 2013

• Original research

Portfolio risk forecasting

• 30 Sep 2013

• Risk management

Tracking value-at-risk through derivative prices

• 27 Jun 2013

• Operational risk

Quantile distance estimation for operational risk: a practical application

• 27 Jun 2013

• Original research

Real estate investment trust return dynamics and value-at-risk under alternative classes of model specifications

• 27 Jun 2013