ROM Simulation: Applications to Stress Testing and VaR-Reference-Cited by-同舟云学术

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ROM Simulation: Applications to Stress Testing and VaR

Published:2012 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Alexander Carol,Ledermann Dan

Publisher

Elsevier BV

Reference21 articles.

1. Quantile uncertainty and value-at-risk;C Alexander;Risk Analysis: An International Journal,2012

2. Developing a stress testing framework based on market risk models;C Alexander;Journal of Banking and Finance,2008

3. Don't look back;G Barone-Adesi;Risk,1998

4. Global portfolio optimization;F Black;Financial Analysts Journal,1992

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. Targeting Kollo skewness with random orthogonal matrix simulation;European Journal of Operational Research;2022-05

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