VAR and use of alternative risk measures of trading risk
- The Tracking Efficiency of Physical and Synthetic Equity Index ETFsDaniel Broby and Oliver SpenceThe Journal of Index Investing November 2020, 11 (3) 34-47; DOI: https://doi.org/10.3905/jii.2020.1.097
- Risk Metrics Evaluation for Variable Annuities with Various Guaranteed BenefitsBing Dong, Jindong Wang and Wei XuThe Journal of Derivatives November 2020, 28 (2) 59-79; DOI: https://doi.org/10.3905/jod.2020.1.109
- Model Risk in Risk Analysis for No-Negative-Equity-GuaranteesJr-Wei Huang, Sharon S. Yang and Chuang-Chang ChangThe Journal of Derivatives November 2020, jod.2020.1.125; DOI: https://doi.org/10.3905/jod.2020.1.125
- Does Integration in the Asian Frontier, Emerging and Developed Stock Markets Conceal a Hidden Opportunity for Portfolio Diversification?Guntur Anjana Raju and Velip Suraj PavtoThe Journal of Wealth Management November 2020, jwm.2020.1.123; DOI: https://doi.org/10.3905/jwm.2020.1.123
- Volatility Prediction and Risk Management: An SVR-GARCH ApproachAbdullah Karasan and Esma GaygisizThe Journal of Financial Data Science October 2020, 2 (4) 85-104; DOI: https://doi.org/10.3905/jfds.2020.1.046
- Internal Capital Allocation at Financial InstitutionsSylvain RaynesThe Journal of Structured Finance April 2019, 25 (1) 21-30; DOI: https://doi.org/10.3905/jsf.2019.25.1.021
- Extreme Market Value Declines: How Well Do Rating Agency Assumptions Hold?Ezana Ceman and Francis ParisiThe Journal of Structured Finance October 2018, 24 (3) 79-88; DOI: https://doi.org/10.3905/jsf.2018.24.3.079
- Do Daily Dividends Reduce Stock Return Volatility and Value-at-Risk?MD. Noman SiddikeeThe Journal of Private Equity August 2018, 21 (4) 75-85; DOI: https://doi.org/10.3905/jpe.2018.1.072
- Does Investors’ Fear Gauge in a Mature Market Matter? Evidence from the MENA RegionBana Abuzayed, Nedal Al-Fayoumi and Talah S. ArabiyatThe Journal of Wealth Management April 2018, 21 (1) 71-87; DOI: https://doi.org/10.3905/jwm.2018.21.1.071
- Price Change, Volatility, and Accurate VaR: Evidence from the NSW and QLD Power MarketsRangga Handika and Yusuf KhudriThe Journal of Alternative Investments March 2018, 20 (4) 82-95; DOI: https://doi.org/10.3905/jai.2018.20.4.082
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