Measuring Portfolio Risk Under Partial Dependence Information-Reference-Cited by-同舟云学术

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Measuring Portfolio Risk Under Partial Dependence Information

Published:2014 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bernard Carole,Denuit Michel,Vanduffel Steven

Publisher

Elsevier BV

Reference48 articles.

1. Explicit ruin formulas for models with dependence among risks;H Albrecher;Insurance: Mathematics and Economics,2011

2. Coherent measures of risk;P Artzner;Mathematical finance,1999

3. Basel III: A global regulatory framework for more resilient banks and banking systems;Basel Committee on Banking Supervision,2010

4. The regulatory framework: balancing risk sensitivity, simplicity and comparability. Consultative Document;Basel Committee on Banking Supervision,2013

5. Assessing financial model risk;P Barrieu;European Journal of Operational Research,2015

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Risk Bounds and Partial Dependence Information;From Statistics to Mathematical Finance;2017

2. On the worst and least possible asymptotic dependence;Journal of Multivariate Analysis;2016-02

3. Value-at-Risk Bounds With Variance Constraints;Journal of Risk and Insurance;2015-12-11

4. How robust is the value-at-risk of credit risk portfolios?;The European Journal of Finance;2015-11-03

5. How Robust is the Value-at-Risk of Credit Risk Portfolios?;SSRN Electronic Journal;2015

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