Publisher
Springer International Publishing
Reference41 articles.
1. C. Bernard and S. Vanduffel. A new approach to assessing model risk in high dimensions. Journal of Banking and Finance, 58:166–178, 2015.
2. C. Bernard, X. Jiang, and S. Vanduffel. Note on ’Improved Fréchet bounds and model-free pricing of multi-asset options’ by Tankov (2011). Journal of Applied Probability, 49(3):866–875, 2012.
3. C. Bernard, Y. Liu, N. MacGillivray, and J. Zhang. Bounds on capital requirements for bivariate risk with given marginals and partial information on the dependence. Dependence Modeling, 1:37–53, 2013.
4. C. Bernard, M. Denuit, and S. Vanduffel. Measuring portfolio risk under partial dependence information. Social Science Research Network, 2014. doi:10.2139/ssrn.2406377.
5. C. Bernard, L. Rüschendorf, and S. Vanduffel. Value-at-Risk bounds with variance constraints. Journal of Risk and Insurance, 2015a. Preprint (2013), available at http://ssrn.com/abstract=2342068 .
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