|
[1]
|
Adams, Z., Füss, R., & Gropp, R. (2014). Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach. Journal of Financial and Quantitative Analysis, 49, 575-598.
http://dx.doi.org/10.1017/S0022109014000325
|
|
[2]
|
Assaf, A. (2015). Value-at-Risk Analysis in the MENA Equity Markets: Fat Tails and Conditional Asymmetries in Return Distributions. Journal of Multinational Financial Management, 29, 30-45.
http://dx.doi.org/10.1016/j.mulfin.2014.11.002
|
|
[3]
|
Baciu, O.A. (2014). Value-at-Risk Estimation on Bucharest Stock Exchange. Journal of Applied Quantitative Methods, 9, No. 4.
|
|
[4]
|
Basel Committee on Banking Supervision (2009). Revisions to the Basel II Market Risk Framework.
http://www.bis.org/publ/bcbs158.htm
|
|
[5]
|
BIS (2005). Stress Testing at Major Financial Institutions: Survey Results and Practice. Working Group Report, Committee on the Global Financial System, Bank for International Settlements, BASEL, Switzerland.
|
|
[6]
|
Bolgün, K. E., & Akçay, B. (2009). Risk Yönetimi. Istanbul: Scala Yayincilik.
|
|
[7]
|
Giddy, I., & Dufey, G. (2006). The Management of Foreign Exchange Risk. New York: New York University, Stern School of Business.
http://pages.stern.nyu.edu/~igiddy/fxrisk.htm
|
|
[8]
|
Glasserman, P. (2004). Monte Carlo Methods in Financial Engineering. New York: Springer.
|
|
[9]
|
Guo, L. (2008). Effective Stress Testing in Enterprise Risk Management.
http://file:///C:/Users/Fujitsu/Downloads/mono-2008-m-as08-1-guo%20(1).pdf
|
|
[10]
|
Iglesias, E. M. (2015). Value at Risk and Expected Shortfall of Firms in the Main European Union Stock Market Indexes: A Detailed Analysis by Economic Sectors and Geographical Situation. Economic Modelling, 50, 1-8.
http://dx.doi.org/10.1016/j.econmod.2015.06.004
|
|
[11]
|
Insurance Europe (2013). Currency Risk, Briefing Note.
http://financial-stability.org/research/artikel/2013/2013-q1/2013-q1-detail/date/2013/march/article/solvency-ii-currency-risk-module-flawed/
|
|
[12]
|
Iorgulescua, F. (2012). Backtesting Value-at-Risk: Case Study on the Romanian Capital Market. Procedia—Social and Behavioral Sciences, 62, 796-800. www.sciencedirect.com
|
|
[13]
|
Janssen, M. J. J. (2009). Portfolio Optimization with a Value at Risk Constraint in the Presence of Unhedgeable Risks. Amsterdam: Department of Quantitative Economics, University of Amsterdam.
|
|
[14]
|
Jorion, P. (2000). Value at Risk: The New Benchmark for Controlling Risk (2nd ed.). New York: McGraw-Hill Inc.
|
|
[15]
|
Keçeci, F. N., & Sarul, L. S. (2014). Application of Value at Risk (VaR) Models on Insurance Claim Data. Digital Proceeding of the ISDS’2014, Side, 10-14 May 2014.
|
|
[16]
|
Majumdar, C. (2008). VaR (Value at Risk) for Insurance Risk—A Simple Model. 10th Global Conference of Actuaries, 7-8 February 2008.
|
|
[17]
|
Manganelli, S., & Engle, R. F. (2001). Value at Risk Model in Finance. European Central Bank Working Paper Series, 75, 1-40.
|
|
[18]
|
Pallotta, M., & Zenti, R. (2000). Risk Analysis for Asset Managers: Historical Simulation, the Bootstrap Approach and Value at Risk Calculation. RAS Asset Management.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=251669
|
|
[19]
|
Piroozfar, G. (2009). Forecasting Value at Risk with Historical and Filtered Historical Simulation Methods. U.U.D.M. Project Report, Uppsala: Department of Mathematics, Uppsala University.
|
|
[20]
|
Popov, V., & Stutzmann, Y. (2003). How Is Foreign Exchange Managed: An Empirical Study Applied to Two Swiss Companies. Master’s Thesis, Lausanne: University of Lausanne.
|
|
[21]
|
Su, B. J. (2015). Value-at-Risk Estimates of the Stock Indices in Developed and Emerging Markets Including the Spillover Effects of Currency Market. Economic Modeling, 46, 204-224.
|
|
[22]
|
Yildirim, I. (2012). Stress Testing in Risk Management: An Application in the Turkish Banking Sector. International Journal of Trade, Economics and Finance, 3, 441-444.
|