Results 231 to 240 of about 366,309 (253)

Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk

Risk Management, 2018
Xu Guo, Raymond H Chan, Wing-Keung Wong
exaly  

Value-at-Risk and Credit VaR

2005
Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar   +3 more
openaire   +1 more source

Interest rate, liquidity, and sovereign risk: derivative-based VaR

Journal of Risk Finance, 2017
Mariya Gubareva, Maria Rosa Borges
exaly  

-VaR and -TVaR for portfolios with mixture of elliptic distributions risk factors and DCC

Insurance: Mathematics and Economics, 2009
Jules Sadefo Kamdem
exaly  

Conditional Value at Risk (C-VaR)

2008
openaire   +1 more source

A VaR-based Downside Risk Analysis of Indian Equity Mutual Funds in the Pre- and Post-global Financial Crisis Periods

Journal of Emerging Market Finance, 2019
Soumya Guha Deb
exaly  

Value-at-risk (VAR)

1998
Benninga, S.Z., Wiener, Z.
openaire   +1 more source

A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model

Management Science, 2004
Alexandre M Baptista
exaly  

Conditional Value at Risk (C-VaR)

2011
openaire   +1 more source

An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III

Australian Journal of Management, 2016
exaly