Technical paper/Value-at-risk (VAR)

• Original research

Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models: a case of frontier markets

• 18 Dec 2012

• Original research

Capturing value-at-risk in futures markets: a revised filtered historical simulation approach

• 18 Dec 2012

• Original research

Backtesting value-at-risk: a comparison between filtered bootstrap and historical simulation

• 18 Dec 2012

• Original research

Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement: an empirical investigation during a financial crisis

• 30 Jun 2012

• Original research

Quantifying model risk within a CreditRisk+ framework

• 28 Mar 2012

• Original research

Value-at-risk forecasts: a comparison analysis of extreme-value versus classical approaches

Research Papers

• 23 Sep 2011