1. Christian Gollier & Pierre-François Koehl & Jean-CharlesRochet, 1996. "Risk-Taking Behavior with Limited Liability and Risk Aversion," Center for Financial Institutions Working Papers 96-13, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
2. David F. Babbel & Anthony M. Santomero, 1997. "Risk Management by Insurers: An Analysis of the Process," Center for Financial Institutions Working Papers 96-16, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
3. Stoughton, Neal & Zechner, Josef, 1999. "Optimal Capital Allocation Using RAROC And EVA," CEPR Discussion Papers 2344, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

Cited by:
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1. Marno Verbeek & Jeroen VK Rombouts, 2005. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005 40, Society for Computational Economics. [Downloadable!]
   Other versions:
   • Jeroen V.K. Rombouts & Marno Verbeek, 2004. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche 04-14, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
   • Rombouts, J.V.K. & Verbeek, M.J.C.M., 2009. "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," Research Paper ERS-2004-107-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
2. Tapiero, Charles, 2003. "Risk Management: An Interdisciplinary Framework," ESSEC Working Papers DR 03014, ESSEC Research Center, ESSEC Business School. [Downloadable!]
3. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis," Working Papers 0602, University of Crete, Department of Economics. [Downloadable!]
4. Albrecht, Peter, 2003. "Risk Based Capital Allocation," Sonderforschungsbereich 504 Publications 03-02, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
5. Keel, Simon & Ardia, David, 2009. "Generalized Marginal Risk," MPRA Paper 17258, University Library of Munich, Germany. [Downloadable!]
6. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
   • Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics. [Downloadable!]
   • Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, vol. 71(2), pages 579-625, March. [Downloadable!] (restricted)
7. Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
8. Jeroen Rombouts & E.W. Rengifo, 2004. "Dynamic Optimal Portfolio Selection in a VaR Framework," Cahiers de recherche 04-05, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
   Other versions:
   • RENGIFO, Erick & ROMBOUTS, Jeroen, 2004. "Dynamic optimal portfolio selection in a VaR framework," CORE Discussion Papers 2004057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
9. Susanne Emmer & Dirk Tasche, 2003. "Calculating credit risk capital charges with the one-factor model," Quantitative Finance Papers cond-mat/0302402, arXiv.org, revised Jan 2005. [Downloadable!]
10. Solange M. Berstein & Rómulo A. Chumacero, 2003. "Quantifying the Costs of Investment Limits for Chilean Pension Funds," Working Papers Central Bank of Chile 248, Central Bank of Chile. [Downloadable!]
    Other versions:
    • Solange M. Berstein & Rómulo A. Chumacero, 2006. "Quantifying the costs of investment limits for Chilean pension funds," Fiscal Studies, Institute for Fiscal Studies, vol. 27(1), pages 99-123, March.
11. Michael B. Gordy & Sandeep Juneja, 2008. "Nested simulation in portfolio risk measurement," Finance and Economics Discussion Series 2008-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
12. Klaus Düllmann & Nancy Masschelein, 2007. "A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios," Journal of Financial Services Research, Springer, vol. 32(1), pages 55-79, October. [Downloadable!] (restricted)
13. Masschelein, Nancy & Düllmann, Klaus, 2006. "Sector concentration in loan portfolios and economic capital," Discussion Paper Series 2: Banking and Financial Studies 2006,09, Deutsche Bundesbank, Research Centre. [Downloadable!]
14. Paul Doukhan & Jean-David Fermanian & Gabriel Lang, 2009. "An empirical central limit theorem with applications to copulas under weak dependence," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 65-87, February. [Downloadable!] (restricted)
15. Klaus Düllmann & Nancy Masschelein, 2006. "Sector Concentration in Loan Portfolios and Economic Capital," Research series 200611-17, National Bank of Belgium. [Downloadable!]
16. Simone Manganelli & Vladimiro Ceci & Walter Vecchiato, 2002. "Sensitivity analysis of volatility - a new tool for risk management," Working Paper Series 194, European Central Bank. [Downloadable!]
17. Boudt, Kris & Peterson, Brian & Croux, Christophe, 2007. "Estimation and decomposition of downside risk for portfolios with non-normal returns," MPRA Paper 5427, University Library of Munich, Germany, revised 23 Oct 2007. [Downloadable!]