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Incoming Resources
- Forecasting extreme financial risk, a critical analysis of practical methods for the Japanese market
- Beyond the sample, extreme quantile and probability estimation
- The emperor has no clothes, limits to risk modelling
- Beyond the sample
- Illusion of control, why financial crises happen, and what we can and can't do about it, Jon Danielsson
- What happens when you regulate risk?, evidence from a simple equilibrium model
- Asset price dynamics with value-at-risk constrained traders
- The cost of conservatism, extreme returns, value-at-risk, and the Basle "multiplication factor"
- Value-at-risk and extreme returns
- Tail index and quantile estimation with very high frequency data
- Financial risk forecasting, the theory and practice of forecasting market risk, with implementation in R and Matlab, Jon Danielsson
- Multivariate stochastic volatility
- Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation
- Real trading patterns and prices in spot foreign exchange markets
- Value-at-risk and extreme returns
- Incentives for effective risk management