Value-at-Risk Bounds with Variance Constraints-Reference-Cited by-同舟云学术

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Value-at-Risk Bounds with Variance Constraints

Published:2013 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bernard Carole,RRschendorf Ludger,Vanduffel Steven

Publisher

Elsevier BV

Reference58 articles.

1. Best practices for estimating economic capital;T Baer;McKinsey Working Papers on Risk,2009

2. Basel III: A global regulatory framework for more resilient banks and banking systems;Basel Committee on Banking Supervision,2010

3. Measuring Portfolio Risk Under Partial Dependence Information

4. Risk aggregation with dependence uncertainty;C Bernard;Insurance: Mathematics and Economics,2013

Cited by 9 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. Improved algorithms for computing worst Value-at-Risk;Statistics & Risk Modeling;2017-02-03

2. Dependence Uncertainty Bounds for the Expectile of a Portfolio;Risks;2015-12-10

3. High level quantile approximations of sums of risks;Dependence Modeling;2015-10-16

4. Ordering of Insurance Risk;Wiley StatsRef: Statistics Reference Online;2015-06-22

5. On aggregation sets and lower-convex sets;Journal of Multivariate Analysis;2015-06

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