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Results 1-10 of 90.
Year of PublicationTitleAuthor(s)
2018A simple traffic light approach to backtesting expected shortfall
In: volume: 6, 2018, issue: 1, p. 1-7
Costanzino, Nick; Curran, Michael
2018Credit risk meets random matrices: Coping with non-stationary asset correlations
In: volume: 6, 2018, issue: 2, p. 1-25
Mühlbacher, Andreas; Guhr, Thomas
2018Credit risk analysis using machine and deep learning models
In: volume: 6, 2018, issue: 2, p. 1-20
Addo, Peter Martey; Guegan, Dominique; Hassani, Bertrand
2018Volatility is log-normal: But not for the reason you think
In: volume: 6, 2018, issue: 2, p. 1-16
Tegnér, Martin; Poulsen, Rolf
2018Analyzing the risks embedded in option prices with rndfittool
In: volume: 6, 2018, issue: 2, p. 1-15
Barletta, Andre; Santucci de Magistris, Paolo
2018Modeling high frequency data with long memory and structural change: A-HYEGARCH model
In: volume: 6, 2018, issue: 2, p. 1-28
Shi, Yanlin; Yang, Yang
2018Where is the risk reward? The impact of volatility-based fund classification on performance
In: volume: 6, 2018, issue: 3, p. 1-20
Ewen, Martin
2018Hierarchical Markov model in life insurance and social benefit schemes
In: volume: 6, 2018, issue: 3, p. 1-17
Jang, Jiwook; Ramli, Siti Norafidah Mohd
2018Desirable portfolios in fixed income markets: Application to credit risk premiums
In: volume: 6, 2018, issue: 1, p. 1-21
Garrido, José; Okhrati, Ramin
2018On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
In: volume: 6, 2018, issue: 3, p. 1-15
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, Emmanuel