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Value-at-Risk Bounds with Variance Constraints
SSRN Electronic Journal
◽
10.2139/ssrn.2342068
◽
2013
◽
Cited By ~ 8
Author(s):
Carole Bernard
◽
Ludger RRschendorf
◽
Steven Vanduffel
Keyword(s):
At Risk
◽
Value At Risk
◽
Risk Bounds
Download Full-text
Related Documents
Cited By
References
Value-at-Risk Bounds With Variance Constraints
Journal of Risk & Insurance
◽
10.1111/jori.12108
◽
2015
◽
Vol 84
(3)
◽
pp. 923-959
◽
Cited By ~ 56
Author(s):
Carole Bernard
◽
Ludger Rüschendorf
◽
Steven Vanduffel
Keyword(s):
At Risk
◽
Value At Risk
◽
Risk Bounds
Download Full-text
Portfolio Value at Risk Bounds Using Extreme Value Theory
International Journal of Economics and Finance
◽
10.5539/ijef.v4n3p204
◽
2012
◽
Vol 4
(3)
◽
Cited By ~ 1
Author(s):
Skander Slim
◽
Imed Gammoudi
◽
Lotfi Belkacem
Keyword(s):
At Risk
◽
Extreme Value Theory
◽
Value At Risk
◽
Value Theory
◽
Extreme Value
◽
Risk Bounds
Download Full-text
Value-at-risk bounds for multivariate heavy tailed distribution: an application to the Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity model
The Journal of Risk Model Validation
◽
10.21314/jrmv.2016.157
◽
2016
◽
Author(s):
Imed Gammoudi
◽
Mohamed El Ghourabi
◽
Lotfi Belkacem
Keyword(s):
At Risk
◽
Value At Risk
◽
Conditional Heteroscedasticity
◽
Heavy Tailed Distribution
◽
Heavy Tailed
◽
Risk Bounds
◽
Autoregressive Conditional Heteroscedasticity
Download Full-text
Reduction of Value-at-Risk bounds via independence and variance information
Scandinavian Actuarial Journal
◽
10.1080/03461238.2015.1119717
◽
2015
◽
pp. 1-22
◽
Cited By ~ 11
Author(s):
Giovanni Puccetti
◽
Ludger Rüschendorf
◽
Daniel Small
◽
Steven Vanduffel
Keyword(s):
At Risk
◽
Value At Risk
◽
Risk Bounds
Download Full-text
Value-at-Risk bounds with two-sided dependence information
Mathematical Finance
◽
10.1111/mafi.12192
◽
2018
◽
Vol 29
(3)
◽
pp. 967-1000
Author(s):
Thibaut Lux
◽
Ludger Rüschendorf
Keyword(s):
At Risk
◽
Value At Risk
◽
Risk Bounds
Download Full-text
Portfolio Value-at-Risk Bounds Using Extreme Value Theory
SSRN Electronic Journal
◽
10.2139/ssrn.1579272
◽
2010
◽
Author(s):
Gammoudi Imed
◽
Slim Skander
◽
Lotfi Belkacem
Keyword(s):
At Risk
◽
Extreme Value Theory
◽
Value At Risk
◽
Value Theory
◽
Extreme Value
◽
Risk Bounds
Download Full-text
Portfolio Value at Risk Bounds
International Transactions in Operational Research
◽
10.1111/1475-3995.00378
◽
2002
◽
Vol 9
(5)
◽
pp. 629-641
◽
Cited By ~ 6
Author(s):
Elisa Luciano
◽
Marina Marena
Keyword(s):
At Risk
◽
Value At Risk
◽
Risk Bounds
Download Full-text
Value at Risk Bounds for Portfolios of Non-normal Returns
Contributions to Management Science - New Trends in Banking Management
◽
10.1007/978-3-642-57478-8_13
◽
2002
◽
pp. 207-222
◽
Cited By ~ 4
Author(s):
E. Luciano
◽
M. Marena
Keyword(s):
At Risk
◽
Value At Risk
◽
Risk Bounds
Download Full-text
Value at Risk Bounds for Portfolios of Non-Normal Returns
SSRN Electronic Journal
◽
10.2139/ssrn.274608
◽
2001
◽
Cited By ~ 4
Author(s):
Elisa Luciano
◽
Marina Marena
Keyword(s):
At Risk
◽
Value At Risk
◽
Risk Bounds
Download Full-text
Reduction of Value-at-Risk Bounds via Independence and Variance Information
SSRN Electronic Journal
◽
10.2139/ssrn.2584860
◽
2015
◽
Cited By ~ 6
Author(s):
Giovanni Puccetti
◽
Ludger RRschendorf
◽
Daniel Small
◽
Steven Vanduffel
Keyword(s):
At Risk
◽
Value At Risk
◽
Risk Bounds
Download Full-text
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