scholarly journals Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework

2004 ◽  
pp. 1.000-51.000
Author(s):  
Miguel A. Ferreira ◽  
Keyword(s):  
At Risk ◽  
Interest Rate ◽  
Value At Risk ◽  
A Value ◽  
Risk Framework ◽  
Covariance Models

Stress Testing in a Value at Risk Framework

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 76-78
Author(s):  
Thomas J. Latta
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stress Testing ◽  
A Value ◽  
Risk Framework

A Value-at-Risk framework for longevity trend risk ‐ Abstract of the London discussion

2013 ◽  
Vol 19 (1) ◽  
pp. 157-167
Author(s):  
Stephen Richards
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Publication Type ◽  
A Value ◽  
Risk Framework

This abstract relates to the following paper:RichardsS. J., CurrieI. D. and RitchieG. P.A Value-at-Risk framework for longevity trend risk.British Actuarial Journal, doi:10.1017/S1357321712000451

Optimal portfolio selection in a Value-at-Risk framework

2001 ◽  
Vol 25 (9) ◽  
pp. 1789-1804 ◽  
Author(s):  
Rachel Campbell ◽  
Ronald Huisman ◽  
Kees Koedijk
Keyword(s):  
At Risk ◽  
Portfolio Selection ◽  
Value At Risk ◽  
Optimal Portfolio ◽  
A Value ◽  
Risk Framework ◽  
Optimal Portfolio Selection

Asset Allocation in a Value-at-Risk Framework

1999 ◽  
Author(s):  
Ronald Huisman ◽  
Kees C.G. Koedijk ◽  
Rachel A. J. Campbell
Keyword(s):  
At Risk ◽  
Asset Allocation ◽  
Value At Risk ◽  
A Value ◽  
Risk Framework
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