Artigo

A Comparables Approach to Measuring Cashflow-at-Risk for Non-Financial Firms

Downside Risk and Agency Problems in the U.S. Financial Sector: Examining the E ect of Risk Incentives
Spectral measures of risk: A coherent representation of subjective risk aversion
An economic capital model integrating credit and interest rate risk in the banking book
Meanvariance portfolio selection with at-risk constraints and discrete distributions
Developing a stress testing framework based on market risk models
Cyclicality in catastrophic and operational risk measurements
Corporate control, bank risk taking, and the health of the banking industry
A neural network approach for credit risk evaluation
Volatility risk and the value premium: Evidence from the French stock market
Does the stock market value bank diversification?
Value at risk and the cross-section of hedge fund returns
Modeling correlated market and credit risk in fixed income portfolios
Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of th
On Haezendonck risk measures
Risk, returns, and values in the presence of differential taxation
Asymmetric risk premium in value and growth stocks
Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics
Foreign currency debt, financial crises and economic growth: A long-run view
Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?
Credit risk: The case of First Interstate Bankcorp
Towards a new early warning system of financial crises
Managing extreme risks in tranquil and volatile markets using conditional extreme value theory
Optimal portfolio slection in a Value-at-Risk framework
Parameterizing credit risk models with rating data
Managing ethical risk: How investing in ethics adds value
Practical methods for measuring and managing operational risk in the financial sector: A clinical study
Quantitative models for operational risk: Extremes, dependence and aggregation
Two-sided coherent risk measures and their application in realistic portfolio optimization
Longevity bond premiums: The extreme value approach and risk cubic pricing
The Asian exposure of U.S. firms: Operational and risk management strategies
Does multinationality matter? Implications of operational hedging for the exchange risk exposure
Testing and comparing Value-at-Risk measures
Extreme spectral risk measures: An application to futures clearinghouse margin requirements
The emperor has no clothes: Limits to risk modelling
Incentives for effective risk management
On time-scaling of risk and the square-root-of-time rule
Value at risk models for volatile emerging markets equity portfolios
The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing
The ADR shadow exchange rate as an early warning indicator for currency crises
The optimal portfolio problem with coherent risk measure constraints
Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
Exposure-Based Cash-Flow-at-Risk: An Alternative to VaR for Industrial Companies
Estimating Value at Risk of crude oil price and its spillover effect using the GED-GARCH approach

Using extreme value theory to measure value-at-risk for daily electricity spot prices
VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights
Downside risk and the size of credit spreads
High volatility, thick tails and extreme value theory in value-at-risk estimation
Extreme value theory and Value-at-Risk: Relative performance in emerging markets
Coherent risk measures under filtered historical simulation
Operational risk and reputation in the financial industry
Crisis transmission: Some evidence from the Asian financial crisis
Bank regulation and risk-taking incentives: An international comparison of bank risk
Sensitivity analysis of Values at Risk
Do hedge funds have enough capital? A value-at-risk approach
Currency crisis contagion and the identification of transmission channels
Currency crises and foreign credit in emerging markets :Credit crunch or demandeffect?
On the significance of expected shortfall as a coherent risk measure
Bank lending policy, credit scoring and value-at-risk
Internal ratings systems, implied credit risk and the consistency of banks risk classification policies
Operational risk
Basels value-at-risk capital requirement regulation: An efficiency analysis
What drives financial crises in emerging markets?
Assessing value at risk with CARE, the Conditional Autoregressive Expectile models
GARCH vs. stochastic volatility: Option pricing and risk management
From value at risk to stress testing: The extreme value approach
Evaluating credit risk models
Rules of thumb for sovereign debt crises
Extreme Value Theory and Value at Risk: Application to oil market
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value appro
A benchmark for measuring bias in estimated daily value at risk
A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps
A credit risk model for large dimensional portfolios with application to economic capital
Do banks overstate their Value-at-Risk?
The level and quality of Value-at-Risk disclosure by commercial banks
Robust optimization of conditional value at risk and portfolio selection
Analytical methods for hedging systematic credit risk with linear factor portfolios
The hidden dangers of historical simulation
A note on the importance of overnight information in risk management models
Credit risk rating systems at large US banks
Value at Risk Using Hyperbolic Distributions
Value at risk models for Dutch bond portfolios
How accurate is the square-root-of-time rule in scaling tail risk: A global study
Backtesting trading risk of commercial banks using expected shortfall
Value-at-risk versus expected shortfall: A practical perspective
Optimal portfolios under a value-at-risk constraint
Value-at-risk for long and short trading positions

Arquivo
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