1. Basel Committee on Banking Supervision, International Convergence of Capital Measurement and Capital Standards: a Revised Framework, 2004 〈http://www.bis.org/publ/bcbs107.htm〉.
2. Value at Risk: The New Benchmark for Managing Financial Risk;Jorion,2001
3. Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management;Bouchaud,2003
4. See, for example, C. Acerbi, C. Nordio, C. Sirtori, Expected shortfall as a tool for financial risk management, cond-mat/0102304 and references therein.
5. Value-at-risk estimation using non-integer degrees of freedom of Student's distribution