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Systemic Risk计算的5种VaR算法matlab代码
9 个回复 - 4798 次查看 Systemic Risk计算的5种VaR算法matlab代码，是发表数量经济、风险管理、金融分析方面论文的绝好材料，具体包括 1，CoVaR (Conditional Value-at-Risk) proposed by Adrian & Brunnermeier (2009); 2，ΔCoVaR ...2017-11-18 22:53 - xiaorenwuhyl - 现金交易版

Optimization of Conditional Value-at-Risk（刊出版）
4 个回复 - 2103 次查看【作者(必填)】Tyrrell Rockafellar and Stanislav Uryasev 【文题(必填)】Optimization of Conditional Value-at-Risk 【年份(必填)】2000 【全文链接或数据库名称(选填)】2016-3-29 15:02 - sailing3200 - 求助成功区

Optimization of conditional value-at-risk 正式发表版
2 个回复 - 745 次查看【作者(必填)】R. Tyrrell Rockafellar and Stanislav Uryasev 【文题(必填)】Optimization of conditional value-at-risk 【年份(必填)】2000 【全文链接或数据库名称(选填)】https://www.risk.net/journa ...2021-2-25 16:13 - ssylzz - 求助成功区

Forecasting value at risk and conditional value at risk using option market data
3 个回复 - 780 次查看【作者(必填)】Annalisa Molino[/backcolor], Carlo Sala[/backcolor] 【文题(必填)】Forecasting value at risk and conditional value at risk using option market data 【年份(必填)】2020 【全文链接或数 ...2021-6-18 21:14 - hnhs100 - 求助成功区

Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Short
1 个回复 - 305 次查看【作者(必填)】 23 【文题(必填)】 Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall 【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.tandfonline.com/ ...2021-2-17 14:23 - internet.hzx - 求助成功区

Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk: A Review
2 个回复 - 1064 次查看【作者(必填)】 L.Jeff Hong City University of Hong Kong,Hong Kong, ChinaZhaolinHu Tongji University, YangpuDistrict, Shanghai, ChinaGuangwuLiu City University of Hong Kong, HongKong, Chin ...2015-2-19 04:49 - chitchatla - 求助成功区

Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approa
1 个回复 - 905 次查看【作者(必填)】Shouwei Liua, Yiu-Kuen Tseb, , 【文题(必填)】Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach 【年份(必填)】2015 【全文链接或数据库名称(选填)】htt ...2015-4-24 22:40 - hnhs100 - 求助成功区

Robust Conditional Variance and Value-at-Risk Estimation
1 个回复 - 1205 次查看【作者(必填)】 [*]Debbie J. Dupuis [*]Nicolas Papageorgiou [*]Bruno Rémillard 【文题(必填)】Robust Conditional Variance and Value-at-Risk Estimation 【年份(必填)】2014 【全文链接或 ...2014-8-21 22:37 - nkky2011 - 求助成功区

Portfolio value-at-risk by Bayesian conditional EVT-copula models taking an Asia
2 个回复 - 1471 次查看【作者(必填)】Guenter Liaoa, Tzu-Hui Panb, Lung-Fu Changc, Shian-Chang Huanga* & Cheng-Feng Wud 【文题(必填)】Portfolio value-at-risk by Bayesian conditional EVT-copula models: taking an Asian ind ...2014-5-18 15:06 - nkky2011 - 求助成功区

Tradeoff between expected reward and conditional value-at-risk criterion in new
2 个回复 - 1781 次查看【作者(必填)】 Xu, Minghui，Chen, Frank Y. 【文题(必填)】Tradeoff between expected reward and conditional value-at-risk criterion in newsvendor models 【年份(必填)】2007 【全文链接或数据库名 ...2013-3-21 08:50 - zccltt - 求助成功区

Optimal decisions when balancing expected profit and conditional value-at-risk
1 个回复 - 1321 次查看【作者(必填)】Minghui Xu, Jianbin Li 【文题(必填)】Optimal decisions when balancing expected profit and conditional value-at-risk in newsvendor models 【年份(必填)】2010 【全文链接或数 ...2013-3-19 22:20 - zccltt - 求助成功区

Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Short
1 个回复 - 413 次查看【作者(必填)】 23 【文题(必填)】 Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall 【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.tandfonline.com/ ...2021-2-17 14:10 - internet.hzx - 求助成功区

Robust conditional value-at-risk optimization for asymmetrically distributed ass
0 个回复 - 571 次查看【作者(必填)】Zhifeng Dai, Donghui Li and Fenghua Wen 【文题(必填)】Robust conditional value-at-risk optimization for asymmetrically distributed asset returns 【年份(必填)】2012 【全文链接或数据 ...2018-10-28 21:45 - 杨万弟 - 文献求助专区

Newsvendor solutions via conditional value-at-risk minimization
2 个回复 - 1006 次查看【作者(必填)】Jun-ya Gotoh, , Yuichi Takano 【文题(必填)】Newsvendor solutions via conditional value-at-risk minimization 【年份(必填)】2007 【全文链接或数据库名称(选填)】http://www.sciencedi ...2013-3-19 21:42 - zccltt - 求助成功区

Value at Risk and Conditional Extreme Value Theory via Markov Regime
1 个回复 - 1037 次查看【作者(必填)】Yau Man Ze-to Samuel 【文题(必填)】Value at Risk and Conditional Extreme Value Theory via Markov Regime 【年份(必填)】2008 【全文链接或数据库名称(选填)】2013-3-10 11:20 - syasd - 求助成功区

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