23 Сентября, 2020

# Оценка риска

[1] Economic Implications of Using a Mean-VaR Model for Portfolio
Selection: A Comparison with Mean-Variance Analysis, G.J.Alexander,
A.M.Baptista, 2000

[2]
Value-at-Risk: a Multivariate Switching Regime Approach, M.Billio,
L.Pelizzon, 2000

[3]
The Ten Great Challenges of Risk Management, C.Batlin and B.Schachter,
2000

[4]
Value at Risk Models for Dutch Bond Portfolios, P.J.G.Vlaar, 1999

[5]
Non-Linear Value-at-Risk, M.Britten-Jones and S.M.Schaefer, 1999

[6]
Asset Allocation in a Value-at-Risk Framework, R.Huisman et.al, 1999

[7]
Evaluation of Value-at-Risk Models Using Historical Data, D.Hendricks,
1996

[8]
A Simplified Method for Calculating the Credit Risk of Lending Portfolios,
A.Ieda et.al., 2000

[9]
Value at Risk Using Hyperbolic Distributions, C.Bauer, 2000

[10]
Market Risk: An Introduction to the Concept & Analytics of
Value-at-Risk, J.Frain and C.Meegan, 1996

[11]
Using Value-at-Risk to Control Risk Taking: How Wrong Can You Be, X.Ju and
N.D.Pearson, 1998

[12]
Credit Risk Optimization with Conditional Value-at-Risk Criterion,
F.Andersson and S.Uryasev, 1999

[13]
An Integrated Market and Credit Risk Portfolio Model, I.Iscoe et.al., 1999

[14]
Assessing VaR Accuracy, K.Dowd, 2000

[15]
Measuring DAX Market Risk: A Neural Network Volatility Mixture Approach,
K.Bartlmae, F.A.Rauscher, 2000

[16]
Value-at-Risk (VaR), S.Benninga and Z.Wiener, 1998

[17]
Managing Market Risk in Banks, 1996

[18]
Value-at-Risk and Extreme Returns, J.Danielsson et.al., 2000

[19]
Taking VaR to Pieces, M.Garman, 1997

[20]
Optimization of Conditional Value-at-Risk, R.T.Rockafellar and S.Uryasev,
1999

[21]
An Overview of Value at Risk (1), D.Duffie and J.Pan, 1997

[22]
VaR Calculations for Derivatives (2), D.Duffie and J.Pan, 1997

[23]
Appendices (3), D.Duffie and J.Pan, 1997

[24]
Extreme Behavior of Diffusion Models in Finance, M.Borkovec, 1998

[25]
Value-at-Risk Analysis and Least Squares Tail Index Estimation, R.W.J van
den Goorbergh, 1999

[26]
Equity Allocation and Portfolio Selection in Insurance: A Simplified
Portfolio Model, E.Taflin, 2000

[27]
How to Measure Risk, G.Ch.Pflug, 1997

[28]
Filtering Historical Simulation. Back-test Analysis, G.Barone-Adesi, 2000

[29]
Conditional Value-at-Risk: Optimization Algorithms and Applications,
S.Uryasev, 2000

[30]
Non-Parametric VaR Techniques. Myths and Realities, G.Barone-Adesi, 2000

[31]
Value-at-Risk When Daily Changes in Market Variables are Not Normally
Distributed, J.Hull and A.White, 1997

[32]
Incorporating Volatility Updating into the Historical Simulation Method
for Value-at-Risk, J.Hull and A.White, 1998

[33]
Horizon Problems and Extreme Events in Financial Risk Management,
P.F.Christoffersen et.al., 1998

[34]
Portfolio Optimization with Conditional Value-at-Risk Objective and
Constraints, J.Palmquist at.al., 1999

[35]
Value-at-Risk Analysis of a Leveraged Swap, S.Srivastava, 1998

[36]
Tracking Error and Value-at-Risk, 1997

[37]
Value-at-Risk and Mixture Distributions, 1998

[38]
Value-at-Risk: On the Stability and Forecasting of the Variance-Covariance
Matrix, J.Engek and M.Gizycki, 1999

[39]
References from D.Duffie and J.Pan,
1997

[40]
Monte Carlo within a Day, J.Cardenas et.al., 1999

[41]
An Analysis Framework for Bank Capital Allocation, N.Baud et.al, 2000

[42]
VaR and the Unreal World, R.Hoppe, 1998

[43]
Extreme Value Theory in Finance and Ensurance, P.Embrechts, 1999

[44]
Developing Scenarios for Future Extreme Losses Using the POT Model,
A.J.McNeil and T.Saladin, 1998

[45]
Extreme Value Theory as a Risk Management Tool, P.Embrechts et.al., 1996

[46]
Value-at-Risk Analysis of Stock Returns. Historical Simulations, Variance
Technique or Tail Index Estimation, R. van den Goorbergh and P.Vlaar, 1999

[<a href=http://www.smartquant.com/references/VaR/var47.pdf">47</a>]
Finding Optimal Portfolios with Constraints on Value-at-Risk,
A.A.Gaivoronski and G.Pflug, 1998

Decomposing Portfolio Value-at-Risk: A General Analysis, W.G.Hallerbach,
1999

[49]
Value-at-Risk in Portfolio Management, P.Gugi et.al., 1999

[50]
Estimating Value-at-Risk with a Precision Measure by Combining Kernel
Estimation with Historical Simulations, J.S.Butler and B.Schachter, 1997

[51]
Value-at-Risk and Derivatives Risk, E.Falkenstein, 1997

[52]
Measuring Risk with Extreme Value Theory, R.L.Smith, 1998

[53]
Reliability of Neural Network Based Value-at-Risk Estimates, R.Prinzler,
1999

[54]
Value-at-Risk for Asset managers, C.L.Culp et.al., 1999

[55]
Analytical Value-at-Risk with Jumps and Credit Risk, D.Duffie
and J.Pan, 1999

[56]
Portfolio Selection with Limited Downside Risk, D.W.Jasen et.al., 2000

[57]
Comparing Different Methods for Estimating Value-at-Risk (VaR) for Actual
Non-Linear Portfolios: Empirical Evvidence, M.Coronado, 2000

[58]
Value-at-Risk Based Portfolio Optimization, A.V.Puelz, 1999

[59]
A Probabilistic Approach to Worst Case Scenarios, G.Barone-Adesi et.al,
1997

[60]
Bank Capital and Value-at-Risk, P.Jackson et.al., 1998

[61] Recovery Risk in Stock Returns, A.Akgun and R.Gibson, 1999

[62] Extreme Value Thory for Tail-Related Risk Measures, R.Kellezi
and M.Gilli, 2000

[63] Evolution of Market Uncertainty around Earnings Announcements,
D.Isakov, C.Perignon, 2000

[64]
New Insights into Smile, Mispricing and Value at Risk: the Hyperbolic
Model, E.Eberlein and U.Keller, 1997