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publications

(27)   

• Managing extreme risks in tranquil and volatile markets using conditional extreme value theory
  Hans N. E. Byström International Review of Financial Analysis13(2):133--152002004.
  to Value-at-Risk by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance
  Stelios D. Bekiros and Dimitris A. Georgoutsos Journal of International Financial Markets, Institutions and Money15(3):209--228Jul2005.
  to Value-at-Risk by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Modelling daily Value-at-Risk using realized volatility and ARCH type models
  Pierre Giot and S'ebastien Laurent Journal of Empirical Finance11(3):379--398Jun2004.
  to Value-at-risk by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Value-at-Risk: a multivariate switching regime approach
  Monica Billio and Loriana Pelizzon Journal of Empirical Finance7(5):531--554Dec2000.
  to Value-at-Risk by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• An evaluation framework for alternative VaR-models
  Dennis Bams and Thorsten Lehnert and Christian C. P. Wolff Journal of International Money and Finance24(6):944--958Oct2005.
  to Value-at-Risk by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
  A. Alexandre Trindade and Yun Zhu Computational Statistics \& Data Analysis51(7):3433--3447Apr2007.
  to Value-at-risk by smicha and 1 other person on Apr 23, 2008, 2:55 PM
  URL | BibTeX 
• VaR: The state of play
  Neil D. Pearson and Charles Smithson Review of Financial Economics11(3):175--189(2002)
  to Value-at-risk by smicha on Apr 22, 2008, 3:17 PM
  URL | BibTeX 
• Equilibrium impact of value-at-risk regulation
  Markus Leippold and Fabio Trojani and Paolo Vanini Journal of Economic Dynamics and Control30(8):1277--1313Aug2006.
  to Value-at-risk by smicha on Apr 22, 2008, 3:17 PM
  URL | BibTeX 
• Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns
  Cherif Guermat and Richard D. F. Harris International Journal of Forecasting18(3):409--419002002.
  to Value-at-risk by smicha on Apr 22, 2008, 3:17 PM
  URL | BibTeX 
• Extreme value theory and Value-at-Risk: Relative performance in emerging markets
  Ramazan Genccay and Faruk Selccuk International Journal of Forecasting20(2):287--303002004.
  to Value-at-Risk by smicha on Apr 22, 2008, 3:17 PM
  URL | BibTeX 
• Do banks overstate their Value-at-Risk?
  Christophe P'erignon and Zi Yin Deng and Zhi Jun Wang Journal of Banking \& Finance32(5):783--794May2008.
  to (VaR) Value-at-Risk by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• Value at risk models for Dutch bond portfolios
  Peter J. G. Vlaar Journal of Banking \& Finance24(7):1131--1154Jul2000.
  to Value-at-risk by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• Conditional value-at-risk for general loss distributions
  R. Tyrrell Rockafellar and Stanislav Uryasev Journal of Banking \& Finance26(7):1443--1471Jul2002.
  to Value-at-risk by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• The emperor has no clothes: Limits to risk modelling
  J'on Dan'ielsson Journal of Banking \& Finance26(7):1273--1296Jul2002.
  to Value-at-risk by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• The impact of risk regulation on price dynamics
  J'on Dan'ielsson and Hyun Song Shin and Jean-Pierre Zigrand Journal of Banking \& Finance28(5):1069--1087May2004.
  to Value-at-risk by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• Value-at-risk versus expected shortfall: A practical perspective
  Yasuhiro Yamai and Toshinao Yoshiba Journal of Banking \& Finance29(4):997--1015Apr2005.
  to Value-at-risk by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• On the significance of expected shortfall as a coherent risk measure
  Koji Inui and Masaaki Kijima Journal of Banking \& Finance29(4):853--864Apr2005.
  to Value-at-Risk by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• Analysis of criteria VaR and CVaR
  Andrey I. Kibzun and Evgeniy A. Kuznetsov Journal of Banking \& Finance30(2):779--796Feb2006.
  to function) (Quantile Value-at-Risk by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• The hidden dangers of historical simulation
  Matthew Pritsker Journal of Banking \& Finance30(2):561--582Feb2006.
  to Value-at-Risk by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX 
• The magnitude of a market crash can be predicted
  S. Y. Novak and J. Beirlant Journal of Banking \& Finance30(2):453--462Feb2006.
  to Value-at-Risk by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX