Value at risk (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Value at risk" in English language version.

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9doi.org

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5web.archive.org

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3semanticscholar.org

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2handle.net

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1value-at-risk.net

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1tilsonfunds.com

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1ethz.ch

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1ams.org

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1derivativesstrategy.com

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1utl.pt

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1uc3m.es

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1tradinginterestrates.com

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1mckinsey.com

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1psu.edu

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1jstor.org

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1ssrn.com

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1erudit.org

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1ku.dk

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1house.gov

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1archives-ouvertes.fr

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ams.org

mathscinet.ams.org

Foellmer, Hans; Schied, Alexander (2004). Stochastic Finance. de Gruyter Series in Mathematics. Vol. 27. Berlin: Walter de Gruyter. pp. 177–182. ISBN 978-311-0183467. MR 2169807.

archives-ouvertes.fr

hal.archives-ouvertes.fr

Cont, Rama; Deguest, Romain; Giacomo, Giacomo (2010). "Robustness and Sensitivity Analysis of Risk Measurement Procedures" (PDF). Quantitative Finance. 10 (6): 593–606. doi:10.1080/14697681003685597. S2CID 158678050.

derivativesstrategy.com

Nassim Taleb (December 1996 – January 1997), The World According to Nassim Taleb, Derivatives Strategy, archived from the original on 2000-08-29

doi.org

Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David (1999). "Coherent Measures of Risk" (PDF). Mathematical Finance. 9 (3): 203–228. doi:10.1111/1467-9965.00068. S2CID 6770585. Retrieved February 3, 2011.
Balbás, A.; Garrido, J.; Mayoral, S. (2008). "Properties of Distortion Risk Measures" (PDF). Methodology and Computing in Applied Probability. 11 (3): 385. doi:10.1007/s11009-008-9089-z. hdl:10016/14071. S2CID 53327887.
Kuester, Keith; Mittnik, Stefan; Paolella, Marc (2006). "Value-at-Risk Prediction: A Comparison of Alternative Strategies". Journal of Financial Econometrics. 4: 53–89. doi:10.1093/jjfinec/nbj002.
Christoffersen, Peter (1998). "Evaluating interval forecasts". International Economic Review. 39 (4): 841–62. CiteSeerX 10.1.1.41.8009. doi:10.2307/2527341. JSTOR 2527341.
Pajhede, Thor (2017). "Backtesting Value-at-Risk: A Generalized Markov Framework". Journal of Forecasting. 36 (5): 597–613. doi:10.1002/for.2456.
Christoffersen, Peter; Pelletier, Denis (2004). "Backtesting Value-at-Risk: A Duration-Based Approach". Journal of Financial Econometrics. 2: 84–108. doi:10.1093/jjfinec/nbh004.
Haas, M. (2006). "Improved duration-based backtesting of value-at-risk". Journal of Risk. 8 (2): 17–38. doi:10.21314/JOR.2006.128.
Dufour, J-M (2006). "Monte carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics". Journal of Econometrics. 133 (2): 443–477. doi:10.1016/j.jeconom.2005.06.007. hdl:1866/532.
Cont, Rama; Deguest, Romain; Giacomo, Giacomo (2010). "Robustness and Sensitivity Analysis of Risk Measurement Procedures" (PDF). Quantitative Finance. 10 (6): 593–606. doi:10.1080/14697681003685597. S2CID 158678050.

erudit.org

depot.erudit.org

Dufour, J-M (2006). "Monte carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics". Journal of Econometrics. 133 (2): 443–477. doi:10.1016/j.jeconom.2005.06.007. hdl:1866/532.

ethz.ch

math.ethz.ch

Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David (1999). "Coherent Measures of Risk" (PDF). Mathematical Finance. 9 (3): 203–228. doi:10.1111/1467-9965.00068. S2CID 6770585. Retrieved February 3, 2011.

handle.net

hdl.handle.net

Balbás, A.; Garrido, J.; Mayoral, S. (2008). "Properties of Distortion Risk Measures" (PDF). Methodology and Computing in Applied Probability. 11 (3): 385. doi:10.1007/s11009-008-9089-z. hdl:10016/14071. S2CID 53327887.
Dufour, J-M (2006). "Monte carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics". Journal of Econometrics. 133 (2): 443–477. doi:10.1016/j.jeconom.2005.06.007. hdl:1866/532.

house.gov

gop.science.house.gov

Nassim Taleb (Sep 10, 2009). "Report on The Risks of Financial Modeling, VaR and the Economic Breakdown" (PDF). U.S. House of Representatives. Archived from the original (PDF) on November 4, 2009.

jstor.org

Christoffersen, Peter (1998). "Evaluating interval forecasts". International Economic Review. 39 (4): 841–62. CiteSeerX 10.1.1.41.8009. doi:10.2307/2527341. JSTOR 2527341.

ku.dk

econ.ku.dk

"Archived copy". Archived from the original on 2017-10-02. Retrieved 2017-07-12.{{cite web}}: CS1 maint: archived copy as title (link)

mckinsey.com

McKinsey & Company. "McKinsey Working Papers on Risk, Number 32" (pdf).

psu.edu

citeseerx.ist.psu.edu

Christoffersen, Peter (1998). "Evaluating interval forecasts". International Economic Review. 39 (4): 841–62. CiteSeerX 10.1.1.41.8009. doi:10.2307/2527341. JSTOR 2527341.

semanticscholar.org

api.semanticscholar.org

Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David (1999). "Coherent Measures of Risk" (PDF). Mathematical Finance. 9 (3): 203–228. doi:10.1111/1467-9965.00068. S2CID 6770585. Retrieved February 3, 2011.
Balbás, A.; Garrido, J.; Mayoral, S. (2008). "Properties of Distortion Risk Measures" (PDF). Methodology and Computing in Applied Probability. 11 (3): 385. doi:10.1007/s11009-008-9089-z. hdl:10016/14071. S2CID 53327887.
Cont, Rama; Deguest, Romain; Giacomo, Giacomo (2010). "Robustness and Sensitivity Analysis of Risk Measurement Procedures" (PDF). Quantitative Finance. 10 (6): 593–606. doi:10.1080/14697681003685597. S2CID 158678050.

ssrn.com

poseidon01.ssrn.com

Pajhede, Thor (2017). "Backtesting Value-at-Risk: A Generalized Markov Framework". Journal of Forecasting. 36 (5): 597–613. doi:10.1002/for.2456.

tilsonfunds.com

Einhorn, David (June–July 2008), "Private Profits and Socialized Risk" (PDF), GARP Risk Review, archived (PDF) from the original on April 26, 2016

tradinginterestrates.com

The Pricing and Hedging of Interest Rate Derivatives: A Practical Guide to Swaps, J H M Darbyshire, 2016, ISBN 978-0995455511

uc3m.es

e-archivo.uc3m.es

Balbás, A.; Garrido, J.; Mayoral, S. (2008). "Properties of Distortion Risk Measures" (PDF). Methodology and Computing in Applied Probability. 11 (3): 385. doi:10.1007/s11009-008-9089-z. hdl:10016/14071. S2CID 53327887.

utl.pt

pascal.iseg.utl.pt

Julia L. Wirch; Mary R. Hardy. "Distortion Risk Measures: Coherence and Stochastic Dominance" (PDF). Archived from the original (PDF) on July 5, 2016. Retrieved March 10, 2012.

value-at-risk.net

Holton, Glyn A. (2014). Value-at-Risk: Theory and Practice second edition, e-book.

web.archive.org

Einhorn, David (June–July 2008), "Private Profits and Socialized Risk" (PDF), GARP Risk Review, archived (PDF) from the original on April 26, 2016
Nassim Taleb (December 1996 – January 1997), The World According to Nassim Taleb, Derivatives Strategy, archived from the original on 2000-08-29
Julia L. Wirch; Mary R. Hardy. "Distortion Risk Measures: Coherence and Stochastic Dominance" (PDF). Archived from the original (PDF) on July 5, 2016. Retrieved March 10, 2012.
"Archived copy". Archived from the original on 2017-10-02. Retrieved 2017-07-12.{{cite web}}: CS1 maint: archived copy as title (link)
Nassim Taleb (Sep 10, 2009). "Report on The Risks of Financial Modeling, VaR and the Economic Breakdown" (PDF). U.S. House of Representatives. Archived from the original (PDF) on November 4, 2009.