References

Alexander, C. and Barbosa, A. (2007) Effectiveness of minimum variance hedging. Journal of Portfolio Management 33, 46–59.

Alexander, C. and Sheedy, E. (2008) Developing a stress testing framework based on market risk models. Journal of Banking and Finance 32(10), 2220–2236.

Alexander, C., Lazar, E. and Stanescu, S. (2008) Analytic moments for conditional and aggregated GARCH variances and returns. ICMA Discussion Papers in Finance DP2008–08.

Alexander, C., Lazar, E. and Stanescu, S. (2009) Analytic approximations to VaR in a GARCH framework. ICMA Discussion Papers in Finance.

Angelidis, T., Benos, A. and Degiannakis, S. (2004) The use of GARCH models in VaR estimation. Statistical Methodology 1, 105–128.

Aragones, J., Blanco, C. and Dowd, K. (2001) Incorporating stress tests into market risk modeling. Derivatives Quarterly 7(3), 44–49.

Artzner, P., Delbaen, F., Eber, J. and Heath, D. (1999) Coherent measures of risk. Mathematical Finance 9, 203–228.

Bangia, A., Diebold, F.X., Schuermann, T. and Stroughair, J.D. (2002) Modeling liquidity risk, with implications for traditional market risk measurement and management. In S. Figlewski and R.M. Levich (eds), Risk Management: The State of the Art. Kluwer Academic, Boston.

Barone-Adesi, G., Bourgoin, F. and Giannopoulos, K. (1998) Don't look back. Risk 11, 100–103.

Barone-Adesi, G., Giannopoulos, K. and Vosper, L. (1999) VaR without correlations for nonlinear portfolios. Journal of Futures Markets 19, 583–602.

Basel Committee ...

Get Market Risk Analysis Volume IV: Value-at-Risk Models 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.