scholarly journals Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures

2004 ◽  
Author(s):  
Arthur M. Berd ◽  
Roy Mashal ◽  
Peili Wang
Keyword(s):  
Risk Measures ◽  
Term Structures ◽  
Credit Term

scholarly journals Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis

2004 ◽  
Author(s):  
Arthur M. Berd ◽  
Roy Mashal ◽  
Peili Wang
Keyword(s):  
Term Structures ◽  
Credit Term

scholarly journals Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures

2004 ◽  
Author(s):  
Arthur M. Berd ◽  
Roy Mashal ◽  
Peili Wang
Keyword(s):  
Term Structures ◽  
Credit Term

A Guide to Modelling credit term Structures

2011 ◽  
Author(s):  
Alexander Lipton ◽  
Andrew Rennie
Keyword(s):  
Term Structures ◽  
Credit Term

Utilizing Downside Risk Measures

2014 ◽  
Vol 31 (3) ◽  
pp. 42-50 ◽  
Author(s):  
Michelle McCarthy
Keyword(s):  
Risk Measures ◽  
Downside Risk

Backtesting general spectral risk measures with application to expected shortfall

2015 ◽  
Vol 9 (1) ◽  
pp. 21-31 ◽  
Author(s):  
Nick Costanzino ◽  
Mike Curran
Keyword(s):  
Risk Measures ◽  
Expected Shortfall ◽  
Spectral Risk Measures

Portfolio losses in factor models: term structures and intertemporal loss dependence

2006 ◽  
Vol 2 (4) ◽  
pp. 3-31 ◽  
Author(s):  
Leif Andersen
Keyword(s):  
Factor Models ◽  
Term Structures

Risk measures and the impact of asset price bubbles

2015 ◽  
Vol 17 (3) ◽  
pp. 35-56 ◽  
Author(s):  
Robert Jarrow ◽  
Felipe Bastos G. Silva
Keyword(s):  
Risk Measures ◽  
Asset Price ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
The Impact

Quality control of risk measures: backtesting VAR models

2007 ◽  
Vol 9 (2) ◽  
pp. 39-54 ◽  
Author(s):  
Victor de la Pena ◽  
Ricardo Rivera ◽  
Jesus Ruiz-Mata
Keyword(s):  
Quality Control ◽  
Risk Measures ◽  
Var Models

Alternative risk measures for alternative investments

2006 ◽  
Vol 8 (4) ◽  
pp. 1-32 ◽  
Author(s):  
A Chabaane ◽  
J Laurent ◽  
Y Malevergne ◽  
F Turpin
Keyword(s):  
Risk Measures ◽  
Alternative Investments

Two sides of the same coin: risk measures in the energy markets

2016 ◽  
Vol 9 (2) ◽  
pp. 51-68 ◽  
Author(s):  
Saša Žiković ◽  
Ivana Tomas Žiković
Keyword(s):  
Risk Measures ◽  
Energy Markets ◽  
Two Sides
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