A general approach to integrated risk management with skewed, fat-tailed risks
- 1 March 2006
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 79 (3), 569-614
- https://doi.org/10.1016/j.jfineco.2005.03.001
Abstract
No abstract availableKeywords
This publication has 15 references indexed in Scilit:
- The t Copula and Related CopulasInternational Statistical Review, 2007
- Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial ImplicationsThe Review of Financial Studies, 2003
- Non-Parametric Pricing of Multivariate Contingent ClaimsThe Journal of Derivatives, 2003
- How Informative Are Value-at-Risk Disclosures?The Accounting Review, 2002
- Portfolio Value‐at‐Risk with Heavy‐Tailed Risk FactorsMathematical Finance, 2002
- Testing Density Forecasts, With Applications to Risk ManagementJournal of Business & Economic Statistics, 2001
- How Relevant is Volatility Forecasting for Financial Risk Management?The Review of Economics and Statistics, 2000
- Coherent Measures of RiskMathematical Finance, 1999
- Evaluating Density Forecasts with Applications to Financial Risk ManagementInternational Economic Review, 1998
- Modeling Asymmetric Comovements of Asset ReturnsThe Review of Financial Studies, 1998