Bibliography

Acerbi, C. 2002. “Spectral Measures of Risk: A Coherent Representation of Subjective Risk Aversion.” Journal of Banking and Finance 26 (7): 1505–1518.

Adrian, T., and M. K. Brunnermeier. 2009. “CoVaR.” Princeton University and FRB of New York Working Paper.

Adrian, T., and H. S. Shin. 2008. “Liquidity, Monetary Policy, and Financial Cycles.” Current Issues in Economics & Finance 14 (1): 1–7.

Alexander, C. 2008. Market Risk Analysis: Practical Financial Econometrics. Chichester, UK: John Wiley & Sons.

Amato, J., and E. Remolona. 2003. “The Credit Spread Puzzle.” BIS Quarterly Review (December): 51–63.

Artzner, P., F. Delbaen, J. Eber, and D. Heath. 1999. “Coherent Measures of Risk.” Mathematical Finance 9 (3): 203–228.

Balkema, A., and L. de Haan. 1974. “Residual Life Time at Great Age.” Annals of Probability 2 (5): 792–804.

Bank for International Settlements. 2008. “Principles for Sound Liquidity Risk Management and Supervision.”

Bank for International Settlements. 2009. “Findings on the Interaction of Market and Credit Risk.” BIS Working Paper No. 16.

Bank for International Settlements. 2009. “International Convergence of Capital Measurement and Capital Standards: A Revised Framework-Comprehensive Version.”

Bank for International Settlements. 2009. “Revision to Basel II Market Risk Framework—Final Version.”

Bank for International Settlements. 2010. “Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems.”

Bank for International Settlements. ...

Get Bubble Value at Risk: A Countercyclical Risk Management Approach, Revised Edition now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.