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Undated material is presented at the end, although it may be more recent than other items
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- 2160955 The long-term risk caused by the stock market bubble
by Kasimir Kaliva, Lasse Koskinen - 2160956 Backtesting value-at-risk accuracy: a simple new test
by Christophe Hurlin, Sessi Tokpavi * - 2160957 Determinants of operational risk reporting in the banking industry
by Günther Helbok, Christian Wagner - 2160958 Stochastic kriging for efficient nested simulation of expected shortfall
by Ming Liu, Jeremy Staum - 2160959 Downside risk asset pricing revisited: a new non-linear threshold model
by Jose Olmo - 2160960 A public guarantee of a minimum return to defined contribution pension scheme members
by Giuseppe Grande, Ignazio Visco - 2160961 Testing hedge effectiveness for option positions
by Jeroen Kerkhof, Bertrand Melenberg, J. M. Schumacher* - 2160962 The price of pension risks
by S. G. (Fieke) Van der Lecq, Adri W.I.M. Van der Wurff - 2160963 Copula parameter estimation: numerical considerations and implications for risk management
by Gregor N. F. Weiß - 2160964 Evaluation of credit portfolio models: test statistics for density-based tests
by Kilian Plank, Roland Walter - 2160965 A review of backtesting and backtesting procedures
by Sean D. Campbell - 2160966 Factor-risk-constrained mean-variance portfolio selection: formulation and global optimization solution approach
by Shushang Zhu, Xueting Cui, Xiaoling Sun, Duan Li - 2160967 On testing the equality of multiple Sharpe ratios, with application on the evaluation of iShares
by Pui-Lam Leung, Wing-Keung Wong - 2160968 Efficient value-at-risk estimation for mortgage-backed securities
by Chulwoo Han, Frank C. Park, Jangkoo Kang - 2160969 Pricing and performance of mutual funds: lookback versus interest rate guarantees
by Nadine Gatzert, Hato Schmeiser - 2160970 Long–short portfolio optimization in the presence of discrete asset choice constraints and two risk measures
by Ritesh Kumar, Gautam Mitra, Diana Roman - 2160971 Scenario-based principal component value-at- risk when the underlying risk factors are skewed and heavy-tailed: an application to Italian banks' interest rate risk exposure
by Roberta Fiori and Simonetta Iannotti - 2160972 Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks: a multivariate nonparametric approach
by Sandra Gaisser, Christoph Memmel, Rafael Schmidt, Carsten S.Wehn - 2160973 The use of multiple risk management strategies: evidence from the natural gas industry
by Christopher C. Géczy, Bernadette A. Minton, Catherine Schrand - 2160974 Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation
by Klaus Böcker, Martin Hillebrand - 2160975 The marginal price of risk with a VaR constraint
by Larry Eisenberg - 2160976 Corporate risk management and speculative motives
by Gregory W. Brown, Zeigham I. Khokher - 2160977 An intensity-based non-parametric default model for residential mortgage portfolios
by Jürg Burkhard, Enrico De Giorgi - 2160978 An estimation-free, robust conditional value-at-risk allocation model
by Carlos Jabbour, Javier F. Peña, Juan C. Vera, Luis F. Zuluaga - 2160979 Alternative risk measures for alternative investments
by A. Chabaane, J.-P. Laurent, Y. Malevergne, F.Turpin - 2160980 Hedging: scaling and the investor horizon
by John Cotter, Jim Hanly - 2160981 Yield curve risk management: adjusting principal component analysis for model errors
by Nicola Carcano - 2160982 Monte Carlo market Greeks in the displaced diffusion Libor market model
by Mark S. Joshi, Oh Kang Kwon - 2160983 Estimating foreign currency exposure in the Canadian Department of National Defence
by Paul E. Desmier - 2160984 Estimating future transition probabilities when the value of side information decays, with applications to credit modeling
by Craig Friedman, Jinggang Huang, Yangyong Zhang - 2160985 Empirical analysis of asymmetric long memory volatility models in value-at-risk estimation
by Zouheir Mighri, Khaled Mokni, Faysal Mansouri - 2160986 The German model of risk distribution in supplementary occupational pensions
by Csaba Burger, Gordon L. Clark - 2160987 Optimal early withdrawal and valuation of finite-horizon fund protection options
by Tiong Wee Lim - 2160988 Comparative analysis of total risk-based performance measures
by Eero Pätäri - 2160989 Modeling extreme returns and asymmetric dependence structures of hedge fund strategies using extreme value theory and copula theory
by Jan Viebig, Thorsten Poddig - 2160990 A value-at-risk analysis of credit default swaps
by Burkhard Raunig, Martin Scheicher - 2160991 Backtesting within the trading book
by Gerhard Stahl, Carsten S.Wehn*, Andreas Zapp - 2160992 Estimation and decomposition of downside risk for portfolios with non-normal returns
by Kris Boudt, Brian Peterson, Christophe Croux - 2160993 A perturbative formula to price barrier options with time dependent parameters in the Black and Scholes world
by Lorella Fatone, Maria Cristina Recchioni, Francesco Zirilli - 2160994 Markets, profits, capital, leverage and return
by Peter Carr, Dilip B. Madan, Juan Jose Vicente Alvarez - 2160995 Realized hedge ratio properties, performance and implications for risk management: evidence from the Spanish IBEX 35 spot and futures markets
by David G. McMillan, Raquel Quiroga Garcia - 2160996 Achieving decorrelation and speed simultaneously in the Libor market model
by Mark S. Joshi - 2160997 Mean–variance optimality of a retirement lump sum conversion strategy: implementation in Australia
by Roger Gay - 2160998 Hedging under alternative stickiness assumptions: an empirical analysis for barrier options
by Bernd Engelmann, Matthias R. Fengler, Peter Schwendner - 2160999 Algorithms for handling CVaR constraints in dynamic stochastic programming
by C. Fabian and A. Veszpremi - 2161000 Risk premium and non-smooth utility
by Sjur Didrik Flåm - 2161001 How much is a model upgrade worth?
by Sven Sandow, Jinggang Huang and Craig Friedman - 2161002 Estimation risk in financial risk management: a correction
by Daniel Giamouridis - 2161003 Forecasting credit event frequency – empirical evidence for West German firms
by Alfred Hamerle, Thilo Liebig, Harald Scheule - 2161004 Instantaneous caps and floors on the short-rate
by Snorre Lindset - 2161005 The bond-stock yield differential as a risk indicator in financial markets
by Giorgio Consigli, Leonard C. MacLean, Yonggan Zhao, William T. Ziemba - 2161006 A simple probabilistic approach to the pricing of credit default swap covenants
by Etienne de Malherbe - 2161007 Improved duration-based backtesting of value-at-risk
by Markus Haas - 2161008 Backtesting risk methodologies from one day to one year
by Gilles Zumbach - 2161009 Using contingent-claims analysis to value opportunities lost due to moral hazard risk
by John D. Finnerty - 2161010 Backtesting market risk models in a standard normality framework
by Kevin Dowd - 2161011 Misspecified likelihood function and value-at-risk Italian banks' interest rate risk exposure
by Ebenezer Asem - 2161012 On the aggregation of risk
by Michael Brockmann, Michael Kalkbrener - 2161013 Efficient execution in the secondary mortgage market: a stochastic optimization model using CVaR constraints
by Chung-Jui Wang, Stan Uryasev - 2161014 Hedging portfolios of financial guarantees
by Van Son Lai, Yves Langlois, Issouf Soumaré - 2161015 Dynamic asset allocation with jump risk
by Weidong Xu, Chongfeng Wu, Weijun Xu, Hongyi Li - 2161016 A conditional approach for risk estimation
by Beatriz Vaz de Melo Mendes - 2161017 Time-scaling of value-at-risk in GARCH(1,1) and AR(1)–GARCH(1,1) processes
by Raymond Brummelhuis and Roger Kaufmann - 2161018 Measurement of large hedgers and large speculators' risk in major US futures markets
by Ikhlaas Gurrib - 2161019 Systematic credit cycle risk of financial collaterals: modeling and evidence
by Marc Gürtler*, Dirk Heithecker - 2161020 Assessing the influence of spot price predictability on electricity futures hedging
by Hipòlit Torró - 2161021 Optimal portfolio choice using the maximum Sharpe ratio
by Ross A. Maller, Robert B. Durand, Hediah Jafarpour - 2161022 Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications to finance
by Csaba I. Fábián, Anna Veszprémi - 2161023 On correlating Lévy processes
by Ernst Eberlein, Dilip B. Madan - 2161024 Compound scenarios: an efficient framework for integrated market–credit risk
by Ben De Prisco, Ian Iscoe, Yijun Jiang, Helmut Mausser - 2161025 The influence of tracking error on volatility risk premium estimation
by James S. Doran - 2161026 A practical guide to volatility forecasting through calm and storm
by Christian Brownlees, Robert Engle, Bryan Kelly - 2161027 Measure of financial risk using conditional extreme value copulas with EVT margins
by Ahmed Ghorbel, Abdelwahed Trabelsi - 2161028 A data-driven optimization heuristic for downside risk minimization
by Manfred Gilli, Evis Këllezi, Hilda Hysi - 2161029 Measuring concentration risk for regulatory purposes
by Marc Gürtler, Martin Hibbeln, Clemens Vöhringer - 2161030 A canonical optimal stopping problem for American options under a double exponential jump-diffusion model
by Farid AitSahlia, Andreas Runnemo - 2161031 Empirical likelihood for value-at-risk and expected shortfall
by Rafet Evren Baysal, Jeremy Staum - 2161032 Competitive equilibrium in insurance markets under adverse selection and non-expected utility
by Niousha Shahidi - 2161033 Tail approximation for credit risk portfolios with heavy-tailed risk factors
by Krassimir Kostadinov - 2161034 Capturing fat-tail risk in exchange rate returns using SU curves: a comparison with the normal mixture and skewed Student distributions
by Pedro Gurrola - 2161035 Rating targeting and dynamic economic capital
by Esa Jokivuolle, Samu Peura - 2161036 Target-date funds: good news and bad news
by Laurence Booth & Bin Chang - 2161037 Fully flexible extreme views
by Attilio Meucci, David Ardia, Simon Keel - 2161038 High-conviction equity portfolio optimization
by Dominiek P. Crezée, Laurens A. P. Swinkels - 2161039 Operational risk: analytical results when high-severity losses follow a generalized Pareto distribution (GPD) – a note
by Klaus Böcker - 2161040 Optimal early withdrawal and valuation of finite-horizon fund protection options
by Tiong Wee Lim - 2161041 Integrating multi-market risk models
by Peter G. Shepard - 2161042 Optimal portfolios from ordering information
by Robert Almgren, Neil Chriss - 2161043 A perturbative formula to price barrier options with time-dependent parameters in the Black and Scholes world
by Lorella Fatone, Maria Cristina Recchioni, Francesco Zirilli - 2161044 Valuation and hedging of weather derivatives on monthly average temperature
by Yuji Yamada - 2161045 Expansion methods applied to asset return distributions
by Kohei Marumo, Rodney Wolff - 2161046 Overcoming dimensional dependence of worst case scenarios and maximum loss
by Thomas Breuer - 2161047 Risk-minimization hedging under nonoptimal exercising
by Dmitriy Levchenkov, Thomas F. Coleman, Yuying Li - 2161048 GARCH-type volatility models based on Brownian inverse Gaussian intra-day return processes
by J. H. Venter, P. J. de Jongh, G. Griebenow - 2161049 Well ARMed and FiRM: diversification of mortgage loans for homebuyers
by Kourosh M. Rasmussen and Stavros A. Zenios - 2161050 Quality control of risk measures: backtesting VAR models
by Victor H. de la Pena, Ricardo Rivera, Jesus Ruiz-Mata - 2161051 Minimizing tracking error while restricting the number of assets
by Thomas F. Coleman, Yuying Li, Jay Henniger - 2161052 Joint and conditional transformed t mixture models with applications to financial and economic data
by Craig Friedman, Wenbo Cao, Jinggang Huang, Yangyong Zhang - 2161053 The hidden risks of optimizing bond portfolios under VAR
by Peter Winker and Dietmar Maringer - 2161054 Min-Max robust and CVaR robust mean-variance portfolios
by Lei Zhu, Thomas F. Coleman, Yuying Li - 2161055 A parallel time stepping approach using meshfree approximations for pricing options with non-smooth payoffs
by A. Q. M. Khaliq, D. A. Voss, G. E. Fasshauer - 2161056 The convergence of binomial trees for pricing the American put
by Mark S. Joshi - 2161057 Ordered contribution allocations: theoretical properties and applications
by Patrick Cheridito, Eduard Kromer - 2161058 Value-at-risk and extreme value distributions for financial returns
by Konstantinos Tolikas - 2161059 Risk estimation using the multivariate normal inverse Gaussian distribution
by Kjersti Aas, Ingrid Hobæk Haff and Xeni K. Dimakos - 2161060 Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options
by Marc Henrard - 2161061 Using Tukey's g and h family of distributions to calculate value-at-risk and conditional value-at-risk
by José Alfredo Jiménez, Viswanathan Arunachalam - 2161062 Testing hedges under the standard tranched credit pricing model
by Christopher C. Finger - 2161063 A parallel time stepping approach using meshfree approximations for pricing options with non-smooth payoffs
by Abdul Q. M. Khaliq, David A. Voss, Greg E. Fasshauer - 2161064 How much structure is best? A comparison of market model, factor model and unstructured equity covariance matrices
by Beat G. Briner, Gregory Connor - 2161065 Mind the tails! Anticipatory risk management for target-date strategies
by Joseph Simonian - 2161066 Kernel quantile based estimation of expected shortfall
by Keming Yu, Abdallah K. Ally, Shanchao Yang, David J. Hand - 2161067 Stochastic programming and stable distributions in asset-liability management
by Michael J. Grebeck, Svetlozar T. Rachev and Frank J. Fabozzi - 2161068 Evaluating value-at-risk measures in the presence of long memory conditional volatility
by Massimiliano Caporin - 2161069 Firm specific option risk and implications for asset pricing
by James S. Doran, Andy Fodor - 2161070 The effect of taxes on the pricing of defaultable debt
by Kian Guan Lim, Fenghua Song, Mitch Warachka - 2161071 Calculating credit risk capital charges with the one-factor model
by Susanne Emmer, Dirk Tasche - 2161072 Intra-day periodicity and long-run volatility in short sterling futures
by David G. McMillan, Alan E. H. Speight - 2161073 Value-at-risk in portfolio optimization: properties and computational approach
by Alexei A. Gaivoronski, Georg Pflug - 2161074 A stress test to incorporate correlation breakdown
by Jongwoo Kim and Christopher C. Finger - 2161075 Central bank vulnerability and the credibility of its commitments: a value-at-risk approach
by Mario I. Blejer, Liliana Schumacher - 2161076 Market risk computation for nonlinear portfolios
by Gerold Studer - 2161077 Measuring risk-adjusted performance
by Michel Crouhy and Stuart M. Turnbull, Lee M. Wakeman - 2161078 Statistical benefits of value-at-risk with long memory
by Andrea Beltratti, Claudio Morana - 2161079 Conditional value-at-risk estimation using non-integer values of degrees of freedom in Student's t-distribution
by Andriy Andreev, Antti Kanto - 2161081 VaR-x: Fat tails in financial risk management
by Ronald Huisman and Rachel A. J. Pownall, Kees G. Koedijk - 2161082 The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes
by Riccardo Rebonato and Peter Jäckel - 2161083 The Cornish–Fisher expansion in the context of Delta–Gamma-normal approximations
by Stefan R. Jaschke - 2161084 Stochastic volatility and transaction time: an activity-based volatility estimator
by Thierry Ané, Hélyette Geman - 2161085 Computation of value-at-risk for nonlinear portfolios
by Andrey Feuerverger, Augustine C. M. Wong - 2161086 Risk measurement with integrated market and credit portfolio models
by Peter Grundke - 2161088 Discrete hedging under piecewise linear risk minimization
by Thomas F. Coleman, Yuying Li, Maria-Cristina Patron - 2161089 Evaluation of credit risk of a portfolio with stochastic interest rate and default processes
by Masaaki Kijima, Yukio Muromachi - 2161090 Behavior of power prices: implications for the valuation and hedging of financial contracts
by Karan Bhanot - 2161092 Selecting an innovation distribution for Garch models to improve efficiency of risk and volatility estimation
by J. H.Venter and P. J. de Jongh - 2161093 Fallacies about the effects of market risk management systems
by Philippe Jorion - 2161094 Evaluating covariance matrix forecasts in a value-at-risk framework
by Jose A. Lopez, Christian A. Walter - 2161095 Large stock market price drawdowns are outliers
by Anders Johansen, Didier Sornette - 2161096 Space–time diversification: which dimension is better?
by Moshe Arye Milevsky - 2161097 A conditional independence approach for portfolio risk evaluation
by Yukio Muromachi - 2161098 Analytical portfolio value-at-risk
by Guy Kaplanski - 2161099 Pricing corporate bonds with dynamic default barriers
by Cho-Hoi Hui, Chi-Fai Lo, Shun-Wai Tsang - 2161100 Evaluating the risk of portfolios with options
by Elizabeth A. Sheedy and Robert G. Trevor - 2161101 Value-at-risk estimation using non-integer degrees of freedom of Student's distribution
by Veli-Pekka Heikkinen, Antti Kanto - 2161102 A dynamic asset allocation model with downside risk control
by Yonggan Zhao, William T. Ziemba - 2161103 An analysis of risk measures
by Guojun Wu, Zhijie Xiao - 2161104 Fifty years of UK asset price volatility
by Nicola Anderson, Francis Breedon - 2161105 The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders revisited
by Robert R. Bliss, David C. Smith - 2161106 Measuring risk with the Bodie put when stocks exhibit mean reversion
by Steven P. Feinstein - 2161107 The structure of credit risk: spread volatility and ratings transitions
by Rudiger Kiesel, William Perraudin, Alex P. Taylor - 2161108 Numerically stable computation of Credit Risk+
by Hermann Haaf, Oliver Reiß, John Schoenmakers - 2161109 A robust test of Merton's structural model for credit risk
by Robert Jarrow, Donald R. van Deventer, Xiaoming Wang - 2161110 A risk-neutral approach to option pricing with jumps and diffusion
by Francesco Antonuccio, Michael Proebsting - 2161111 Conditional value-at-risk in the presence of multiple probability measures
by Craig Friedman - 2161112 Modeling and measuring operational risk
by Marcelo Cruz, Rodney Coleman, and Gerry Salkin - 2161113 Derivatives and risk: the case of thrifts
by Arthur M. B. Hogan and David H. Malmquist - 2161114 Vega risk and the smile
by Allan M. Malz - 2161115 Closed-form solutions for option pricing in the presence of volatility smiles: a density-function approach
by Dariush Mirfendereski, Riccardo Rebonato - 2161116 A dynamical model of market under- and overreaction
by Jorge R. Sobehart, Ricardo Farengo - 2161117 Operational risk: a practitioner's view
by Silvan Ebnöther and Paolo Vanini, Alexander McNeil, Pierre Antolinez - 2161118 A coherent framework for stress testing
by Jeremy Berkowitz - 2161119 Stress tests and risk capital
by Paul H. Kupiec - 2161120 A percolation approach to modeling credit loss distribution under contagion
by Sergio M. Focardi, Frank J. Fabozzi - 2161121 VAR risk measures vs traditional risk measures: an analysis and survey
by Guy Kaplanski, Yoram Kroll - 2161122 First Derivatives National Bank: a case problem in the management of interest rate risk
by Richard J. Rendleman, Jr. - 2161124 Misspecified copulas in credit risk models: how good is Gaussian?
by Alfred Hamerle, Daniel Rösch - 2161125 Evaluating credit risk models using loss density forecasts
by Hergen Frerichs and Gunter Löffler - 2161126 Estimation risk in financial risk management
by Peter Christoffersen, SÃlvia Gonçalves - 2161127 The effects of jump risks associated with the default rate on credit spreads
by Chang Mo Ahn, Jangkoo Kang, Hwa-Sung Kim - 2161130 Risk management based on stochastic volatility
by Ernst Eberlein, Jan Kallsen and Jörn Kristen - 2161132 Fast computation of efficient portfolios
by Antonio Marcos Duarte, Jr. - 2161133 The quantification of operational risk
by Markus Leippold, Paolo Vanini - 2161134 Synchronizing multivariate financial time series
by Francesco Audrino, Peter Bühlmann - 2161135 Estimating economic capital allocations for market and credit risk
by Paul Kupiec - 2161136 Decomposing portfolio value-at-risk: a general analysis
by Winfried G. Hallerbach - 2161137 An empirical investigation into credit spread indices
by Jean-Luc Prigent, Olivier Renault, Olivier Scaillet - 2161138 Value-at-risk analysis of a leveraged swap
by Sanjay Srivastava - 2161139 Hedge funds revisited: distributional characteristics, dependence structure and diversification
by Hélyette Geman, Cécile Kharoubi - 2161140 Risk analysis and the NIG distribution
by Jostein Lillestøl - 2161141 Swaptions and options
by Don M. Chance - 2161142 Optimal ALM strategies for defined benefit pension plans
by Arun S. Muralidhar, Ronald J. P. van der Wouden - 2161143 An empirical comparison of methods for incorporating fat tails into value-at-risk models
by Vijay Pant and Weita Chang - 2161144 A new approach to component VaR
by R. B. Carroll, T. Perry, H. Yang, A. Ho - 2161146 Optimal option portfolios in markets with position limits and margin requirements
by Mordecai Avriel, Haim Reisman - 2161147 Dependent defaults in models of portfolio credit risk
by Rüdiger Frey, Alexander J. McNeil - 2161148 A multivariate Markov model for simulating correlated defaults
by Masaaki Kijima, Katsuya Komoribayashi, Eisuke Suzuki - 2161150 Optimal execution of portfolio transactions
by Robert Almgren, Neil Chriss - 2161151 Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications
by Peter Jäckel, Riccardo Rebonato - 2161152 Credit default swap valuation with counterparty default risk and market risk
by Mi Ae Kim and Tong Suk Kim - 2161153 Unconstrained fitting of implied volatility surfaces using a mixture of normals
by Riccardo Rebonato, Maria Teresa Cardoso - 2161154 Portfolio allocation to corporate bonds with correlated defaults
by Mark B. Wise, Vineer Bhansali - 2161155 Risk management and reporting risk in the UK
by Philip Linsley and Philip Shrives - 2161156 Incorporating volatility updating into the historical simulation method for value-at-risk
by John Hull and Alan White - 2161158 Dynamic hedging with a deterministic local volatility function model
by Thomas F. Coleman, Yohan Kim, Yuying Li, Arun Verma - 2161159 Optimization of conditional value-at-risk
by R. Tyrrell Rockafellar and Stanislav Uryasev - 2161160 A portfolio optimization model for corporate bonds subject to credit risk
by Nagisa Akutsu, Masaaki Kijima, Katsuya Komoribayashi - 2161161 Forecasting portfolio risk in normal and stressed markets
by Vineer Bhansali, Mark B. Wise - 2161162 Volatility modeling in the presence of measurement errors
by Jonas Andersson and Anders Ã…gren - 2161163 Nonparametric estimation of copulas for time series
by Jean-David Fermanian, Olivier Scaillet