Filtered Historical Simulation Value-at-Risk Models and Their Competitors-Reference-Cited by-同舟云学术

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Filtered Historical Simulation Value-at-Risk Models and Their Competitors

Published:2015 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Gurrola Pedro,Murphy David

Publisher

Elsevier BV

Reference47 articles.

1. Nonparametric Estimation of Value-at-Risk

2. Non parametric VaR Techniques. Myths and Realities

3. Vosper VaR without Correlations for Portfolios for Portfolios of Derivative Securities;G Barone-Adesi;Journal of Futures Markets,1999

4. Basle Committee on Banking Supervision, Overview of the Amendment to the Capital Accord to incorporate market risks;BCBS,1996

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3. Haircut Capital Allocation as the Solution of a Quadratic Optimisation Problem;Mathematics;2023-09-07

4. Spatial Multivariate GARCH Models and Financial Spillovers;Journal of Risk and Financial Management;2023-09-06

5. Estimating risks of European option books using neural stochastic differential equation market models;Journal of Computational Finance;2023

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