| Tài liệu tham khảo |
Loại |
Chi tiết |
| 1. Acerbi, C., Nordio, C., Sirtori, C.(2001), Expected Shortfall as a Tool for Financial Risk Management, AbaxBank – Working Paper |
Sách, tạp chí |
| Tiêu đề: |
Expected Shortfall as a Tool for Financial Risk Management |
| Tác giả: |
C. Acerbi, C. Nordio, C. Sirtori |
| Nhà XB: |
AbaxBank |
| Năm: |
2001 |
|
| 2. Danielsson, J.&de Vries, C. (1997), Tail index and quantile estimation with wery high frequency data, Journal of Empirical Finance 4, 241-257 |
Sách, tạp chí |
| Tiêu đề: |
Tail index and quantile estimation withwery high frequency data |
| Tác giả: |
Danielsson, J.&de Vries, C |
| Năm: |
1997 |
|
| 3. Danniel De Waal (2004), Statistics of Extremes- Theory and Applications, John Wiley& Sons, Ltd |
Sách, tạp chí |
| Tiêu đề: |
Statistics of Extremes- Theory and Applications |
| Tác giả: |
Danniel De Waal |
| Năm: |
2004 |
|
| 5. Fotios C. Harmantzis, Linyan Miao, Yifan Chien, Empirical Study of Value- at-Risk and Expected Shortfall Models with Heavy Tails, Working Paper - Financial Analytics Group, Stevens Institute of Technology, August 2005 |
Sách, tạp chí |
| Tiêu đề: |
Empirical Study of Value-at-Risk and Expected Shortfall Models with Heavy Tails |
| Tác giả: |
Fotios C. Harmantzis, Linyan Miao, Yifan Chien |
| Nhà XB: |
Working Paper - Financial Analytics Group, Stevens Institute of Technology |
| Năm: |
2005 |
|
| 6. Hull, J. and A. White, Value at Risk When Daily Changes in Market Vari- ables Are Not Normally Distributed, Journal of Derivatives, (1998) 5 |
Sách, tạp chí |
| Tiêu đề: |
Value at Risk When Daily Changes in Market Vari-ables Are Not Normally Distributed |
|
| 9. Manfred Gilli, Evis Kellezi (2003), An Application of Extremme Value The- ory for Measuring Risk |
Sách, tạp chí |
| Tiêu đề: |
An Application of Extremme Value Theory for Measuring Risk |
| Tác giả: |
Manfred Gilli, Evis Kellezi |
| Năm: |
2003 |
|
| 10. McNeil. A. (1998), Calculating Quantile Risk Measures for Financial Re- turn Series using Extreme Value Theory |
Sách, tạp chí |
| Tiêu đề: |
Calculating Quantile Risk Measures for Financial Re- turn Series using Extreme Value Theory |
| Tác giả: |
A. McNeil |
| Năm: |
1998 |
|
| 12. Neftci, S., Value at Risk Calculations, Extreme Events, and Tail Estimation, The Journal of Derivatives, (2000) |
Sách, tạp chí |
| Tiêu đề: |
Value at Risk Calculations, Extreme Events, and Tail Estimation |
|
| 13. R¨udiger Frey, Alexander J. McNeil, VaR and expected shortfall in portfo- lios of dependent credit risks: Conceptual and practical insights, Journal of Banking & Finance 26 (2002) 1317–1334p |
Sách, tạp chí |
| Tiêu đề: |
VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights |
| Tác giả: |
Rüdiger Frey, Alexander J. McNeil |
| Nhà XB: |
Journal of Banking & Finance |
| Năm: |
2002 |
|
| 14. R.-D. Reiss & M. Thomas, Statistics Analysis of Extreme Values, with Ap- plications to Insurance, Finance, Hydrology and Other Fields |
Sách, tạp chí |
| Tiêu đề: |
Statistics Analysis of Extreme Values, with Applications to Insurance, Finance, Hydrology and Other Fields |
| Tác giả: |
R.-D. Reiss, M. Thomas |
|
| 15. Yasuhiro Yamai, Toshinao Yoshiba, Value-at-risk versus expected shortfall:A practical perspective, Journal of Banking & Finance 29 (2005) 997 – 1015p |
Sách, tạp chí |
| Tiêu đề: |
Value-at-risk versus expected shortfall:A practical perspective |
| Tác giả: |
Yasuhiro Yamai, Toshinao Yoshiba |
| Nhà XB: |
Journal of Banking & Finance |
| Năm: |
2005 |
|
| 4. Feter F. Christoffersen (2003), Elements of Financial.Risk.Management |
Khác |
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