Econometric modeling of risk measures: A selective review of the recent literature-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Econometric modeling of risk measures: A selective review of the recent literature

Published:2019-06 Issue:2 Volume:34 Page:205-228
ISSN:1005-1031
Container-title:Applied Mathematics-A Journal of Chinese Universities
language:en
Short-container-title:Appl. Math. J. Chin. Univ.

Author:

Tian Ding-shi,Cai Zong-wu,Fang Ying

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics

Link

http://link.springer.com/content/pdf/10.1007/s11766-019-3628-9.pdf

Reference77 articles.

1. V V Acharya, R Engle, M Richardson. Capital shortfall: a new approach to ranking and regulating systemic risks. American Economic Review, 2012, 102(3): 59–64.

2. V V Acharya, L H Pedersen, T Philippon, M Richardson. Measuring systemic risk. Review of Financial Studies, 2017, 30(1): 2–47.

3. T Adrian, M K Brunnermeier. CoVaR. American Economic Review, 2016, 106(7): 1705–1741.

4. P Artzner, F Delbaen, J M Eber, D Heath. Coherent measures of risk. Mathematical Finance, 1999, 9(3): 203–228.

5. S Basak, A Shapiro. Value-at-Risk-based risk management: optimal policies and asset prices. Review of Financial Studies, 2001, 14(2): 371–405.

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Trading Strategies in the Ho Chi Minh Stock Exchange;Disruptive Technology and Business Continuity;2024

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3