Forecasting Portfolio Risk in Normal and Stressed Markets
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Cited by:
- Michelle Muniz & Matthias Ehrhardt & Michael Günther, 2021. "Approximating Correlation Matrices Using Stochastic Lie Group Methods," Mathematics, MDPI, vol. 9(1), pages 1-10, January.
- Alejandro Reveiz‐Herault, 2016. "An Active Asset Management Investment Process for Drawdown‐Averse Investors," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 85-96, January.
- Paraschiv, Florentina & Mudry, Pierre-Antoine & Andries, Alin Marius, 2015. "Stress-testing for portfolios of commodity futures," Economic Modelling, Elsevier, vol. 50(C), pages 9-18.
- Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 161-191, October.
- Y. Malevergne & D. Sornette, 2002. "Investigating Extreme Dependences: Concepts and Tools," Papers cond-mat/0203166, arXiv.org.
- Alessio Caldarera & Celso Brunetti, 2005.
"Asset Prices and Asset Correlations in Illiquid Markets,"
2005 Meeting Papers
288, Society for Economic Dynamics.
- Celso Brunetti & Alessio Caldarera, 2006. "Asset Prices and asset Correlations in Illiquid Markets," Computing in Economics and Finance 2006 331, Society for Computational Economics.
- Alejandro Reveiz Herault, 2008.
"The Factor-Portfolios Approach to Asset Management using Genetic Algorithms,"
Borradores de Economia
511, Banco de la Republica de Colombia.
- Alejandro Reveiz Herault, 2008. "The Factor-Portfolios Approach to Asset Management using Genetic Algorithms," Borradores de Economia 4626, Banco de la Republica.
- So, Mike K.P. & Wong, Jerry & Asai, Manabu, 2013. "Stress testing correlation matrices for risk management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 310-322.
- Yu, Philip L.H. & Li, W.K. & Ng, F.C., 2014. "Formulating hypothetical scenarios in correlation stress testing via a Bayesian framework," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 17-33.
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