VAR and use of alternative risk measures of trading risk
- 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 May 2010, 17 (4) 1-2; DOI: https://doi.org/10.3905/jod.2010.17.4.001
- Using Order Statistics to Estimate Confidence Intervals for Quantile-Based Risk MeasuresKevin DowdThe Journal of Derivatives February 2010, 17 (3) 9-14; DOI: https://doi.org/10.3905/jod.2010.17.3.009
- Analytical VaR and Expected Shortfall for Quadratic PortfoliosMeng-Lan Yueh and Mark C.W WongThe Journal of Derivatives February 2010, 17 (3) 33-44; DOI: https://doi.org/10.3905/jod.2010.17.3.033
- Variance Risk Premia in Energy CommoditiesAnders B Trolle and Eduardo S SchwartzThe Journal of Derivatives February 2010, 17 (3) 15-32; DOI: https://doi.org/10.3905/jod.2010.17.3.015
- Editor’s LetterStephen FiglewskiThe Journal of Derivatives February 2010, 17 (3) 1-2; DOI: https://doi.org/10.3905/jod.2010.17.3.001
- The Impact of Jump Dynamics on the Predictive Power of Option-Implied DensitiesYaw-Huei WangThe Journal of Derivatives February 2009, 16 (3) 9-22; DOI: https://doi.org/10.3905/JOD.2009.16.3.009
- The Normal Inverse Gaussian Distribution and the Pricing of DerivativesAnders Eriksson, Eric Ghysels and Fangfang WangThe Journal of Derivatives February 2009, 16 (3) 23-37; DOI: https://doi.org/10.3905/JOD.2009.16.3.023
- Asymmetric Dependence Implications for Extreme Risk ManagementGeorges TsafackThe Journal of Derivatives August 2009, 17 (1) 7-20; DOI: https://doi.org/10.3905/JOD.2009.17.1.007
- A Lattice Approach to Pricing of Multivariate Contingent Claims with Regime SwitchingM.I.M Wahab and Chi-Guhn LeeThe Journal of Derivatives August 2009, 17 (1) 49-61; DOI: https://doi.org/10.3905/JOD.2009.17.1.049
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