VAR and use of alternative risk measures of trading risk
- 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
- A Case for Tail-Risk-Based Sharpe RatiosJames X. Xiong and Thomas M. IdzorekThe Journal of Portfolio Management January 2018, 44 (3) 114-125; DOI: https://doi.org/10.3905/jpm.2018.44.3.114
- Bayesian Dynamic Interactions and Predictions: U.S., BRIC, and Frontier Equity MarketsAmanjot SinghThe Journal of Wealth Management January 2018, 20 (4) 96-109; DOI: https://doi.org/10.3905/jwm.2018.20.4.096
- A Robust Decision Support Approach to Portfolio Risk Reduction Based on Credit Default SwapDexiang Wu and Desheng Dash WuThe Journal of Fixed Income December 2017, 27 (3) 86-95; DOI: https://doi.org/10.3905/jfi.2018.27.3.086
- The Impact of Market Conditions on Bond Fund ManagersHarsh Parikh and Frank J. FabozziThe Journal of Fixed Income December 2017, 27 (3) 6-22; DOI: https://doi.org/10.3905/jfi.2018.27.3.006
- Currency-Hedging Optimization for Multi-Asset PortfoliosHelen Guo and Laura RyanThe Journal of Portfolio Management December 2017, 44 (2) 100-113; DOI: https://doi.org/10.3905/jpm.2018.44.2.100
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