| Document Title |
Author |
Publication Date |
Issue Date |
| Value at Risk Meets Volcker Rule |
[Schachter, Barry]
|
February 2012 |
1-31-2012 |
| Risk Margin Estimation through the Cost of Capital Approach: Some Conceptual Issues |
[Floreani, Alberto]
|
April 2011 |
1-30-2012 |
| The Strictest Common Relaxation of a Family of Risk Measures |
[Roorda, Berend][Schumacher, Hans]
|
September 2010 |
1-30-2012 |
| The RDF Method (Risk Dynamics into the Future) |
[Nebot, Guillermo][Trias, Ramon][Parés, Lluisa][Feernández, David][Carrascosa, Ferran]
|
October 2008 |
1-29-2012 |
| RDF, Risk Dynamics into the Future |
[Guan, Bo]
|
June 2010 |
1-29-2012 |
| Macroprudential Stress-Testing Practices of Central Banks in Central and South Eastern Europe |
[Melecky, Martin][Podpiera, Anca Maria]
|
September 2010 |
1-29-2012 |
| Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers |
[Melecky, Martin][Buncic, Daniel]
|
January 2012 |
1-29-2012 |
| Deterministic Shock vs. Stochastic Value-at-Risk - An Analysis of the Solvency II Standard Model Approach to Longevity Risk |
[Boerger, Matthias]
|
September 2010 |
1-29-2012 |
| Enhanced Well-Being Analysis and Value-at-Risk Determination in Deregulated Power Systems |
[Verma, A. K.][Venu, V. Vijay]
|
August 2011 |
1-29-2012 |
| Nonparametric Estimator of Value-at-Risk for Stationary Financial Returns |
[Huang, Chu]
|
August 2011 |
1-29-2012 |
| On Efficient Optimisation of the CVaR and Related LP Computable Measures for Portfolio Selection |
[Ogryczak, Wlodzimierz][Sliwinski, Tomasz]
|
January 2010 |
1-29-2012 |
| Value at Risk with High Frequency Data |
[Barucci, Emilio][Reno, Roberto]
|
January 2002 |
1-29-2012 |
| Macroenvironmental Determinants of Operational Loss Severity |
[Cope, Eric W.][Piche, Mark T.][Walter, John S.]
|
December 2011 |
1-29-2012 |
| Modeling Operational Loss Severity Distributions from Consortium Data |
[Cope, Eric W.]
|
December 2010 |
1-29-2012 |
| Estimating Operational Risk Capital: The Challenges of Truncation the Hazards of MLE, and the Promise of Robust Statistics |
[Opdyke, JD][Cavallo, Alexander]
|
January 2012 |
1-29-2012 |
| A Method to Quantify Risks of Financial Assets: An Empirical Analysis of Japanese Security Prices |
[Sato, Aki-Hiro]
|
January 2012 |
1-28-2012 |
| Stochastic Orders and Non-Gaussian Risk Factor Models |
[Huschens, Stefan][Hoese, Steffi]
|
August 2011 |
1-28-2012 |
| Upside and Downside Risk with a Benchmark |
[Tibiletti, Luisa][Farinelli, Simone]
|
January 2003 |
1-28-2012 |
| A Proposal for Evaluating Value-at-Risk Models |
[Korczak, Marta]
|
September 2000 |
1-28-2012 |
| Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation |
[Sun, Jie][Goh, Mark][Meng, Fanwen (F.W.)]
|
August 2010 |
1-28-2012 |
