Application of Modified POT Method with Volatility Model for Estimation of Risk Measures Journal title: Dynamic Econometric Models Authors: Marcin Fałdziński Subject(s): Economics, Orthopedics, Health Care Sciences & Services, Medicine, Research & Experimental, Public, Environmental & Occupational Health, Primary Health Care, Business, Business, Finance
Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions Journal title: Dynamic Econometric Models Authors: Dominik Krężolek Subject(s): Economics, Orthopedics, Health Care Sciences & Services, Medicine, Research & Experimental, Public, Environmental & Occupational Health, Primary Health Care, Business, Business, Finance
A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk Journal title: Decision Making in Manufacturing and Services Authors: Bartosz Sawik Subject(s):
VALUE-AT-RISK ПОРТФЕЛЮ ЦІННИХ ПАПЕРІВ PORTFOLIO VALUE-AT-RISK Journal title: Наукові записки Національного університету "Острозька академія", серія "Економіка" Authors: Valentyn Khokhlov Subject(s):
VALUE-AT-RISK AS A PRINCIPAL METHODOLOGY OF RISK ESTIMATION Journal title: Вісник Одеського національного університету. Економіка. Authors: O. P. Petrashko Subject(s):
МІНІМІЗАЦІЯ VALUE-AT-RISK ПОРТФЕЛЯ ФІНАНСОВИХ АКТИВІВ ЯК УЗАГАЛЬНЕННЯ КЛАСИЧНОЇ ТЕОРІЇ ПОРТФЕЛЯ Journal title: Наукові записки Національного університету "Острозька академія", серія "Економіка" Authors: Тарас Заболоцький Subject(s):
THE OPTIMUM PORTFOLIO OF ASEAN STOCK MARKETS MARKOV SWITCHING MULTIVARIATE COPULA APPROACH Journal title: Topics in Economics, Business and Management (EBM) Authors: Roengchai Tansuchat Subject(s):
COMPARISON OF SEMI-PARAMETRIC AND BENCHMARK VALUE-AT-RISK MODELS IN SEVERAL TIME PERIODS WITH DIFFERENT VOLATILITY LEVELS Journal title: e-Finanse Authors: Mateusz Buczyński, Marcin Chlebus Subject(s):
Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study Journal title: Economic Annals-XXI Authors: Taras Zabolotskyy, Valdemar Vitlinskyy, Volodymyr Shvets Subject(s):
