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DOI
Author
Journal
Affiliation
ISSN
Subject
Does the VaR Measurement Using Monte-Carlo Simulation Work in China?—Evidence from Chinese Listed Banks
(Articles)
Dehong Wang
,
Jianbo Song
,
Yongzhao Lin
Journal of Financial Risk Management
Vol.6 No.1
,March 15, 2017
DOI:
10.4236/jfrm.2017.61006
1,340
Downloads
2,419
Views
Citations
Valuation and Risk Assessment of a Portfolio of Variable Annuities: A Vector Autoregression Approach
(Articles)
Albina Orlando
,
Gary Parker
Journal of Mathematical Finance
Vol.8 No.2
,May 9, 2018
DOI:
10.4236/jmf.2018.82023
504
Downloads
932
Views
Citations
Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates
(Articles)
Cyprian O. Omari
,
Peter N. Mwita
,
Antony G. Waititu
Journal of Mathematical Finance
Vol.7 No.4
,November 2, 2017
DOI:
10.4236/jmf.2017.74045
792
Downloads
1,890
Views
Citations
Financial Risk Measurement for Turkish Insurance Companies Using VaR Models
(Articles)
Ismail Yildirim
Journal of Financial Risk Management
Vol.4 No.3
,September 30, 2015
DOI:
10.4236/jfrm.2015.43013
6,956
Downloads
8,334
Views
Citations
Risk Measurement of Chinese Stock Market Based on GARCH Model and Extreme Value Theory
(Articles)
Shixue Du
,
Guoqiang Tang
,
Shijun Li
Open Journal of Business and Management
Vol.7 No.2
,April 25, 2019
DOI:
10.4236/ojbm.2019.72065
336
Downloads
656
Views
Citations
The Researches on Exchange Rate Risk of Chinese Commercial Banks Based on Copula-Garch Model
(Articles)
Baoqian Wang
,
Tingting Cao
,
Shu Wang
Modern Economy
Vol.5 No.5
,May 23, 2014
DOI:
10.4236/me.2014.55051
4,274
Downloads
5,407
Views
Citations
A Research on the Risk Measure of Chinese Copper Futures Market Based on VaR
(Articles)
Hu’e Zhao
Open Journal of Social Sciences
Vol.2 No.9
,August 26, 2014
DOI:
10.4236/jss.2014.29007
3,023
Downloads
3,384
Views
Citations
Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model
(Articles)
Samuel Y. M. Ze-To
Journal of Mathematical Finance
Vol.2 No.3
,August 31, 2012
DOI:
10.4236/jmf.2012.23025
6,957
Downloads
10,523
Views
Citations
Forecasting the Impact of Information Security Breaches on Stock Market Returns and VaR Backtest
(Articles)
Ilaria Colivicchi
,
Riccardo Vignaroli
Journal of Mathematical Finance
Vol.9 No.3
,August 21, 2019
DOI:
10.4236/jmf.2019.93024
328
Downloads
745
Views
Citations
Strong Consistency of CVaR Optimal Estimator
(Articles)
Xiaolin Li
Open Journal of Statistics
Vol.8 No.3
,May 28, 2018
DOI:
10.4236/ojs.2018.83027
367
Downloads
735
Views
Citations
Efficient Estimation of Distributional Tail Shape and the Extremal Index with Applications to Risk Management
(Articles)
Travis R. A. Sapp
Journal of Mathematical Finance
Vol.6 No.4
,November 9, 2016
DOI:
10.4236/jmf.2016.64046
1,168
Downloads
1,713
Views
Citations
This article belongs to the Special Issue on
Portfolio Theory and Risk Management
On Value Premium, Part I: The Existence
(Articles)
Chi Fung Ling
,
Simon Gar Man Koo
Journal of Mathematical Finance
Vol.1 No.3
,November 25, 2011
DOI:
10.4236/jmf.2011.13014
4,471
Downloads
8,352
Views
Citations
Risk Migration In Supply Chain Inventory Financing Service
(Articles)
Zheng Qin
,
Xiaochao Ding
Journal of Service Science and Management
Vol.4 No.2
,June 16, 2011
DOI:
10.4236/jssm.2011.42026
7,442
Downloads
12,943
Views
Citations
New Approach to Density Estimation and Application to Value-at-Risk
(Articles)
Kian-Guan Lim
,
Hao Cheng
,
Nelson K. L. Yap
Journal of Mathematical Finance
Vol.5 No.5
,November 26, 2015
DOI:
10.4236/jmf.2015.55036
3,771
Downloads
4,311
Views
Citations
This article belongs to the Special Issue on
Density Estimation in Finance
The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets
(Articles)
Ata Assaf
Journal of Mathematical Finance
Vol.7 No.2
,May 31, 2017
DOI:
10.4236/jmf.2017.72026
1,450
Downloads
2,259
Views
Citations
Forecasting Value-at-Risk (VaR) in the Major Asian Economies
(Articles)
Faisal Nazir Zargar
,
Dilip Kumar
Theoretical Economics Letters
Vol.8 No.9
,June 12, 2018
DOI:
10.4236/tel.2018.89100
444
Downloads
854
Views
Citations
This article belongs to the Special Issue on
Financial Modeling
Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models
(Articles)
Anthony Ngunyi
,
Simon Mundia
,
Cyprian Omari
Journal of Mathematical Finance
Vol.9 No.4
,October 17, 2019
DOI:
10.4236/jmf.2019.94030
396
Downloads
875
Views
Citations
General Markowitz Optimization Problems
(Articles)
George Stoica
Applied Mathematics
Vol.3 No.12A
,December 31, 2012
DOI:
10.4236/am.2012.312A281
5,629
Downloads
7,731
Views
Citations
This article belongs to the Special Issue on
Probability and Its Applications
The Effects of Systemic Risk on the Allocation between Value and Growth Portfolios
(Articles)
Gabriel Penagos
,
Gonzalo Rubio
Journal of Mathematical Finance
Vol.3 No.1A
,March 29, 2013
DOI:
10.4236/jmf.2013.31A016
5,206
Downloads
8,388
Views
Citations
This article belongs to the Special Issue on
Forecasting and Portfolio Construction
An Application of Bayesian Inference on the Modeling and Estimation of Operational Risk Using Banking Loss Data
(Articles)
Kashfia N. Rahman
,
Dennis A. Black
,
Gary C. McDonald
Applied Mathematics
Vol.5 No.6
,April 2, 2014
DOI:
10.4236/am.2014.56082
4,525
Downloads
6,706
Views
Citations
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