Tail risks
- The Performance of Johnson Distributions for Computing
Value at Risk and Expected ShortfallJean-Guy SimonatoThe Journal of Derivatives August 2011, 19 (1) 7-24; DOI: https://doi.org/10.3905/jod.2011.19.1.007 - Editor’s LetterStephen FiglewskiThe Journal of Derivatives August 2011, 19 (1) 1-2; DOI: https://doi.org/10.3905/jod.2011.19.1.001
- Exchange Rate Market Expectations and Central Bank Policy: The Case of the Mexican Peso/U.S. Dollar from 2005–2009Gustavo Lesser Abarca, Guillermo Benavides and José Gonzalo RangelThe Journal of Derivatives May 2012, 19 (4) 70-90; DOI: https://doi.org/10.3905/jod.2012.19.4.070
- A LETTER FROM THE DIRECTOR OF THE IAFEDavid JaffeThe Journal of Derivatives May 2011, 18 (4) 8; DOI: https://doi.org/10.3905/jod.2011.18.4.008
- The Generalized Extreme Value Distribution, Implied Tail Index, and Option PricingSheri Markose and Amadeo AlentornThe Journal of Derivatives February 2011, 18 (3) 35-60; DOI: https://doi.org/10.3905/jod.2011.18.3.035
- Editor’s LetterStephen FiglewskiThe Journal of Derivatives February 2011, 18 (3) 1-2; DOI: https://doi.org/10.3905/jod.2011.18.3.001
- An Empirical Characteristic Function Approach to VaR Under a Mixture-of-Normal Distribution with Time-Varying VolatilityDinghai Xu and Tony S. WirjantoThe Journal of Derivatives August 2010, 18 (1) 39-58; DOI: https://doi.org/10.3905/jod.2010.18.1.039
- Impact of Net Buying Pressure on Changes in Implied Volatility: Before and After the Onset of the Subprime CrisisYung-Ming Shiu, Ging-Ginq Pan, Shu-Hui Lin and Tu-Cheng WuThe Journal of Derivatives May 2010, 17 (4) 54-66; DOI: https://doi.org/10.3905/jod.2010.17.4.054
- Editor’s LetterStephen FiglewskiThe Journal of Derivatives February 2010, 17 (3) 1-2; DOI: https://doi.org/10.3905/jod.2010.17.3.001
- Viewing the Financial Crisis from 20,000 Feet UpStephen FiglewskiThe Journal of Derivatives February 2009, 16 (3) 53-61; DOI: https://doi.org/10.3905/JOD.2009.16.3.053
Pages
Explore our content to discover more relevant research
- Behavioral Finance
- Theory (36)
- In Markets (170)
- In Portfolio Management (140)
- In Wealth Management (99)
- Derivatives
- Options (549)
- Credit default swaps (126)
- Counterparty risk (24)
- Other (213)
- Factors, risk premia
- Factor-based models (465)
- Style investing (168)
- Other (52)
- Fixed income and structured finance
- Project finance (87)
- International Investing
- Legal/regulatory/public policy
- Long-term/retirement investing
- Wealth management (617)
- Retirement (486)
- Social security (101)
- Pension funds (177)
- Other (55)
- Mutual funds/passive investing/indexing
- Mutual fund performance (249)
- Passive strategies (144)
- Other (332)
- Performance measurement
- Volatility measures (368)
- Performance measurement (1837)
- Portfolio management/multi-asset allocation
- Portfolio theory (682)
- Portfolio construction (1830)
- ESG investing (335)
- Manager selection (295)
- Other (274)
- Quantitative methods
- Statistical methods (1365)
- Simulations (295)
- Quantitative methods (438)
- Real assets/alternative investments/private equity
- Real estate (222)
- Commodities (195)
- Other real assets (99)
- Currency (174)
- Private equity (742)
- Risk management
- Credit risk management (299)
- Tail risks (166)
- Risk management (858)
- Security analysis and valuation
- Technical analysis (113)