Value-at-risk under ambiguity aversion-Reference-Cited by-同舟云学术

Value-at-risk under ambiguity aversion

Published:2018-06-13 Issue:1 Volume:4 Page:
ISSN:2199-4730
Container-title:Financial Innovation
language:en
Short-container-title:Financ Innov

Author:

Agliardi Rossella

Publisher

Springer Science and Business Media LLC

Subject

Management of Technology and Innovation,Finance

Link

http://link.springer.com/content/pdf/10.1186/s40854-018-0095-z.pdf

Reference22 articles.

1. Agliardi E, Agliardi R, Spanjers W (2016) Corporate financing decisions under ambiguity: pecking order and liquidity policy implications. J Bus Res 69:6012–6020

2. Agliardi R (2017) Asymmetric Choquet random walks and ambiguity aversion or seeking. Theor Decis 83:591–602

3. Artzner P, Delbaen F, Eber JM, Heath D (1999) Coherent risk measures. Math Financ 9(3):203–228

4. Basel Committee on Banking Supervision (2013) Fundamental review of the trading book: a revised market risk framework. In: Second Consultative Paper, p 2013

5. Boyarchenko, N. (2010). ‘Ambiguity shifts and the 2007–2008 financial crisis’. Mimeo

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