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