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Sensitivity analysis of Values at Risk

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Cited by:

  1. Morone, Marco & Cornaglia, Anna & Mignola, Giulio, 2012. "Determining marginal contributions of the economic capital of credit risk portfolio: an analytical approach," MPRA Paper 39119, University Library of Munich, Germany.
  2. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
  3. Simon Keel & David Ardia, 2011. "Generalized marginal risk," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 123-131, June.
  4. Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, vol. 201(1), pages 325-343, December.
  5. Henryk Gzyl & Silvia Mayoral, 2006. "On a relationship between distorted and spectral risk measures," Faculty Working Papers 15/06, School of Economics and Business Administration, University of Navarra.
  6. 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.
  7. Alex Huang, 2013. "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 225-251, August.
  8. Yu Takata, 2018. "Application of Granularity Adjustment Approximation Method to Incremental Value-at-Risk in Concentrated Portfolios," Economics Bulletin, AccessEcon, vol. 38(4), pages 2320-2330.
  9. Borgonovo, Emanuele & Hazen, Gordon B. & Jose, Victor Richmond R. & Plischke, Elmar, 2021. "Probabilistic sensitivity measures as information value," European Journal of Operational Research, Elsevier, vol. 289(2), pages 595-610.
  10. Loriano Mancini & Fabio Trojani, 2011. "Robust Value at Risk Prediction," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 281-313, Spring.
  11. 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.
  12. Sung Ik Kim, 2022. "ARMA–GARCH model with fractional generalized hyperbolic innovations," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
  13. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
  14. Christian Gourieroux & Wei Liu, 2009. "Control and Out‐of‐Sample Validation of Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 683-707, September.
  15. Rosen, Dan & Saunders, David, 2010. "Risk factor contributions in portfolio credit risk models," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 336-349, February.
  16. Fermanian, Jean-David & Scaillet, Olivier, 2005. "Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 927-958, April.
  17. Jeroen Rombouts & Marno Verbeek, 2009. "Evaluating portfolio Value-at-Risk using semi-parametric GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 737-745.
  18. Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Nonparametric Estimation of Copulas for Time Series," FAME Research Paper Series rp57, International Center for Financial Asset Management and Engineering.
  19. Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G., 2000. "Portfolio selection with limited downside risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 247-269, November.
  20. Christian Gourieroux & Wei Liu, 2006. "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers 2006-17, Center for Research in Economics and Statistics.
  21. Humphery-Jenner, M., 2011. "Anti-takeover Provisions as a Source of Innovation and Value Creation," Other publications TiSEM 9eb6f6bf-8859-429e-a029-a, Tilburg University, School of Economics and Management.
  22. Xuejun Wang & Yi Wu & Wei Yu & Wenzhi Yang & Shuhe Hu, 2019. "Asymptotics for the linear kernel quantile estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(4), pages 1144-1174, December.
  23. 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.
  24. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 593-606.
  25. M. Dietsch & C. Welter-Nicol, 2014. "Do LTV and DSTI caps make banks more resilient?," Débats économiques et financiers 13, Banque de France.
  26. Guangwu Liu, 2015. "Simulating Risk Contributions of Credit Portfolios," Operations Research, INFORMS, vol. 63(1), pages 104-121, February.
  27. So Yeon Chun & Miguel A. Lejeune, 2020. "Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution," Management Science, INFORMS, vol. 66(8), pages 3735-3753, August.
  28. Namwon Hyung & Casper G. de Vries, 2005. "Portfolio Diversification Effects of Downside Risk," Tinbergen Institute Discussion Papers 05-008/2, Tinbergen Institute.
  29. Dingshi Tian & Zongwu Cai & Ying Fang, 2018. "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201807, University of Kansas, Department of Economics, revised Oct 2018.
  30. Solange M. Berstein & Rómulo A. Chumacero, 2012. "VaR limits for pension funds: an evaluation," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1315-1324, May.
  31. Biswajit Patra & Puja Padhi, 2015. "Backtesting of Value at Risk Methodology: Analysis of Banking Shares in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 9(3), pages 254-277, August.
  32. Samet Günay, 2017. "Value at risk (VaR) analysis for fat tails and long memory in returns," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 7(2), pages 215-230, August.
  33. Rosen, Dan & Saunders, David, 2009. "Analytical methods for hedging systematic credit risk with linear factor portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 37-52, January.
  34. Magnus, Jan R. & Vasnev, Andrey L., 2015. "Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations," International Journal of Forecasting, Elsevier, vol. 31(3), pages 769-781.
  35. Young Shin Kim, 2022. "Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model," Annals of Operations Research, Springer, vol. 312(2), pages 853-881, May.
  36. Banulescu, Georgiana-Denisa & Dumitrescu, Elena-Ivona, 2015. "Which are the SIFIs? A Component Expected Shortfall approach to systemic risk," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 575-588.
  37. Zhou, Chen, 2010. "Dependence structure of risk factors and diversification effects," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 531-540, June.
  38. García-Céspedes, Rubén & Moreno, Manuel, 2017. "An approximate multi-period Vasicek credit risk model," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 105-113.
  39. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
  40. Paulusch, Joachim & Schlütter, Sebastian, 2022. "Sensitivity-implied tail-correlation matrices," Journal of Banking & Finance, Elsevier, vol. 134(C).
  41. Dias, Alexandra, 2016. "The economic value of controlling for large losses in portfolio selection," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 81-91.
  42. Avramidis, Panagiotis & Pasiouras, Fotios, 2015. "Calculating systemic risk capital: A factor model approach," Journal of Financial Stability, Elsevier, vol. 16(C), pages 138-150.
  43. Ceci, Vladimiro & Manganelli, Simone & Vecchiato, Walter, 2002. "Sensitivity analysis of volatility: a new tool for risk management," Working Paper Series 194, European Central Bank.
  44. Uberti, Pierpaolo & Figini, Silvia, 2010. "How to measure single-name credit risk concentrations," European Journal of Operational Research, Elsevier, vol. 202(1), pages 232-238, April.
  45. M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.
  46. Humphery-Jenner, M., 2011. "Anti-takeover Provisions as a Source of Innovation and Value Creation," Discussion Paper 2011-045, Tilburg University, Center for Economic Research.
  47. Cotter, John & Dowd, Kevin, 2007. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," MPRA Paper 3504, University Library of Munich, Germany.
  48. Young Shin Kim, 2020. "Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk," Papers 2007.13972, arXiv.org, revised Sep 2020.
  49. Izhar, Hylmun, 2012. "Measuring Operational Risk Exposures in Islamic Banking: A Proposed Measurement Approach," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 20, pages 45-86.
  50. Amiri, Aboubacar & Thiam, Baba, 2014. "A smoothing stochastic algorithm for quantile estimation," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 116-125.
  51. Castro, Carlos & Ferrari, Stijn, 2014. "Measuring and testing for the systemically important financial institutions," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 1-14.
  52. Fischer, T., 2003. "Risk capital allocation by coherent risk measures based on one-sided moments," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 135-146, February.
  53. Lu Ou & Zhibiao Zhao, 2021. "Value‐at‐risk forecasting via dynamic asymmetric exponential power distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 291-300, March.
  54. Gordy, Michael B. & Marrone, James, 2012. "Granularity adjustment for mark-to-market credit risk models," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1896-1910.
  55. Yo-Hwan Kim & Myoungwoo Lee & In-Ju Hwang & Youn-Jea Kim, 2019. "Noise Reduction of an Extinguishing Nozzle Using the Response Surface Method," Energies, MDPI, vol. 12(22), pages 1-13, November.
  56. Aigner, Philipp, 2023. "Identifying scenarios for the own risk and solvency assessment of insurance companies," ICIR Working Paper Series 48/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  57. Pertaia, Giorgi & Prokhorov, Artem & Uryasev, Stan, 2022. "A new approach to credit ratings," Journal of Banking & Finance, Elsevier, vol. 140(C).
  58. Adil Rengim Cetingoz & Olivier Gu'eant, 2023. "Asset and Factor Risk Budgeting: A Balanced Approach," Papers 2312.11132, arXiv.org, revised May 2024.
  59. Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Finance, Presses universitaires de Grenoble, vol. 33(1), pages 79-112.
  60. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
  61. Battulga Gankhuu, 2024. "Derivatives of Risk Measures," Papers 2404.09646, arXiv.org, revised Aug 2024.
  62. Koike, Takaaki & Saporito, Yuri & Targino, Rodrigo, 2022. "Avoiding zero probability events when computing Value at Risk contributions," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 173-192.
  63. Kao, Lie-Jane, 2015. "A portfolio-invariant capital allocation scheme penalizing concentration risk," Economic Modelling, Elsevier, vol. 51(C), pages 560-570.
  64. Hyung, Namwon & de Vries, Casper G., 2012. "Simulating and calibrating diversification against black swans," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1162-1175.
  65. Jin Peng, 2011. "Credibilistic value and average value at risk in fuzzy risk analysis," Fuzzy Information and Engineering, Springer, vol. 3(1), pages 69-79, March.
  66. Young Shin Kim & Frank J. Fabozzi, 2024. "Portfolio optimization with relative tail risk," Annals of Operations Research, Springer, vol. 341(2), pages 1023-1055, October.
  67. Albrecht, Peter, 2003. "Risk based capital allocation," Papers 03-02, Sonderforschungsbreich 504.
  68. Hyung, Namwon & de Vries, Casper G., 2007. "Portfolio selection with heavy tails," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 383-400, June.
  69. Susanne Emmer & Dirk Tasche, 2003. "Calculating credit risk capital charges with the one-factor model," Papers cond-mat/0302402, arXiv.org, revised Jan 2005.
  70. Borgonovo, Emanuele & Gatti, Stefano, 2013. "Risk analysis with contractual default. Does covenant breach matter?," European Journal of Operational Research, Elsevier, vol. 230(2), pages 431-443.
  71. Abdoul G. Sam, 2010. "Nonparametric estimation of market risk: an application to agricultural commodity futures," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 70(2), pages 285-297, August.
  72. Dirk Tasche, 2009. "Capital allocation for credit portfolios with kernel estimators," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 581-595.
  73. Li, Ting & Zhang, Weiguo & Xu, Weijun, 2013. "Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment," Economic Modelling, Elsevier, vol. 31(C), pages 12-17.
  74. Michael B. Gordy & Sandeep Juneja, 2010. "Nested Simulation in Portfolio Risk Measurement," Management Science, INFORMS, vol. 56(10), pages 1833-1848, October.
  75. Buch, A. & Dorfleitner, G., 2008. "Coherent risk measures, coherent capital allocations and the gradient allocation principle," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 235-242, February.
  76. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
  77. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2022. "Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion," Annals of Operations Research, Springer, vol. 313(2), pages 691-712, June.
  78. Andreas Tsanakas & Pietro Millossovich, 2016. "Sensitivity Analysis Using Risk Measures," Risk Analysis, John Wiley & Sons, vol. 36(1), pages 30-48, January.
  79. Dias, Alexandra, 2014. "Semiparametric estimation of multi-asset portfolio tail risk," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 398-408.
  80. Marcelo Fernandes & Eduardo Mendes & Olivier Scaillet, 2015. "Testing for symmetry and conditional symmetry using asymmetric kernels," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(4), pages 649-671, August.
  81. Tapiero, Charles, 2003. "Risk Management: An Interdisciplinary Framework," ESSEC Working Papers DR 03014, ESSEC Research Center, ESSEC Business School.
  82. Yi-Ping Chang & Jing-Xiu Lin & Chih-Tun Yu, 2016. "Calculating Value-at-Risk Using the Granularity Adjustment Method in the Portfolio Credit Risk Model with Random Loss Given Default," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(2), pages 157-176, August.
  83. Hussein Khraibani & Bilal Nehme & Olivier Strauss, 2018. "Interval Estimation of Value-at-Risk Based on Nonparametric Models," Econometrics, MDPI, vol. 6(4), pages 1-30, December.
  84. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.
  85. Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers 2016:01, Department of Economics, University of Venice "Ca' Foscari".
  86. Duc Hong Vo & Quang Van Tuan & Trung Vu-Thanh Pham, 2019. "Sectoral Risks in Vietnam and Malaysia A Comparative Analysis," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 62-87, March.
  87. Akif Ince & Ilaria Peri & Silvana Pesenti, 2021. "Risk contributions of lambda quantiles," Papers 2106.14824, arXiv.org, revised Nov 2022.
  88. Haque, Mahfuzul & Kabir Hassan, M. & Varela, Oscar, 2004. "Safety-first portfolio optimization for US investors in emerging global, Asian and Latin American markets," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 91-116, January.
  89. 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.
  90. Targino, Rodrigo S. & Peters, Gareth W. & Shevchenko, Pavel V., 2015. "Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 206-226.
  91. Bauer, Daniel & Zanjani, George, 2021. "Economic capital and RAROC in a dynamic model," Journal of Banking & Finance, Elsevier, vol. 125(C).
  92. RENGIFO, Erick & ROMBOUTS, Jeroen, 2004. "Dynamic optimal portfolio selection in a VaR framework," LIDAM Discussion Papers CORE 2004057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  93. Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
  94. Klaus Düllmann & Nancy Masschelein, 2007. "A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 55-79, October.
  95. Rosenberg, Joshua V. & Schuermann, Til, 2006. "A general approach to integrated risk management with skewed, fat-tailed risks," Journal of Financial Economics, Elsevier, vol. 79(3), pages 569-614, March.
  96. Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.
  97. Christian Gouriéroux & Jean-Cyprien Heam, 2013. "Funding Liquidity Risk from A Regulatory Perspective," Working Papers 2013-20, Center for Research in Economics and Statistics.
  98. Lorenzo Hern'andez & Jorge Tejero & Alberto Su'arez & Santiago Carrillo-Men'endez, 2012. "Percentiles of sums of heavy-tailed random variables: Beyond the single-loss approximation," Papers 1203.2564, arXiv.org, revised Dec 2012.
  99. Dietsch, Michel & Petey, Joël, 2015. "The credit-risk implications of home ownership promotion: The effects of public subsidies and adjustable-rate loans," Journal of Housing Economics, Elsevier, vol. 28(C), pages 103-120.
  100. Rubén García-Céspedes & Manuel Moreno, 2020. "Random LGD adjustments in the Vasicek credit risk model," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1856-1875, December.
  101. Paul Doukhan & Jean-David Fermanian & Gabriel Lang, 2005. "Copulas of a Vector-Valued Stationary Weakly Dependent Process," Working Papers 2005-48, Center for Research in Economics and Statistics.
  102. Dirk Tasche, 2002. "Expected Shortfall and Beyond," Papers cond-mat/0203558, arXiv.org, revised Oct 2002.
  103. Alexandre Kurth & Dirk Tasche, 2002. "Credit Risk Contributions to Value-at-Risk and Expected Shortfall," Papers cond-mat/0207750, arXiv.org, revised Nov 2002.
  104. Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.
  105. Inés Jiménez & Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote, 2020. "Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies," Mathematics, MDPI, vol. 8(12), pages 1-24, November.
  106. Zmeskal, Zdenek, 2005. "Value at risk methodology of international index portfolio under soft conditions (fuzzy-stochastic approach)," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 263-275.
  107. Bali, Turan G. & Neftci, Salih N., 2003. "Disturbing extremal behavior of spot rate dynamics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 455-477, September.
  108. Wang, Chuan-Sheng & Zhao, Zhibiao, 2016. "Conditional Value-at-Risk: Semiparametric estimation and inference," Journal of Econometrics, Elsevier, vol. 195(1), pages 86-103.
  109. Young Shin Kim, 2023. "Portfolio Optimization with Relative Tail Risk," Papers 2303.12209, arXiv.org, revised Mar 2023.
  110. Panayiotis F. Diamandis & Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2012. "Asset allocation in the Athens stock exchange: a variance sensitivity analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(2), pages 167-181, April.
  111. Denuit, Michel & Ortega-Jimenez, Patricia & Robert, Christian Y., 2024. "No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses," LIDAM Discussion Papers ISBA 2024019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  112. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  113. Namwon Hyung & Casper G. de Vries, 2010. "The Downside Risk of Heavy Tails induces Low Diversification," Tinbergen Institute Discussion Papers 10-082/2, Tinbergen Institute.
  114. Solange Berstein & Rómulo Chumacero, 2005. "Cuantificación de los Costos de los Limites de Inversión para los Fondos de Pensiones Chilenos," Working Papers 3, Superintendencia de Pensiones, revised Apr 2005.
  115. Aigner, Philipp & Schlütter, Sebastian, 2023. "Enhancing gradient capital allocation with orthogonal convexity scenarios," ICIR Working Paper Series 47/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  116. Pesenti, Silvana M. & Millossovich, Pietro & Tsanakas, Andreas, 2019. "Reverse sensitivity testing: What does it take to break the model?," European Journal of Operational Research, Elsevier, vol. 274(2), pages 654-670.
  117. Peter Albrecht, 2011. "Zur Theorie des Value at Risk-minimalen Hedges," Schmalenbach Journal of Business Research, Springer, vol. 63(1), pages 2-18, February.
  118. Klaus Düllmann & Nancy Masschelein, 2006. "Sector Concentration in Loan Portfolios and Economic Capital," Working Paper Research 105, National Bank of Belgium.
  119. Kellner, Ralf & Rösch, Daniel, 2016. "Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk," Journal of Economic Dynamics and Control, Elsevier, vol. 68(C), pages 45-63.
  120. Zhongde Luo, 2020. "Nonparametric kernel estimation of CVaR under $$\alpha $$α-mixing sequences," Statistical Papers, Springer, vol. 61(2), pages 615-643, April.
  121. Laurent, Jean-Paul & Sestier, Michael & Thomas, Stéphane, 2016. "Trading book and credit risk: How fundamental is the Basel review?," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 211-223.
  122. Hulusi Inanoglu & Michael Jacobs, 2009. "Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital," JRFM, MDPI, vol. 2(1), pages 1-72, December.
  123. Lorenzo Mercuri & Edit Rroji, 2014. "Parametric Risk Parity," Papers 1409.7933, arXiv.org.
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