Search results for "value-at-risk"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
11	Akiko Takeda, Masashi Sugiyama	nu-support vector machine as conditional value-at-risk minimization.	ICML	2008	DBLP DOI BibTeX RDF
11	David B. Brown	Large deviations bounds for estimating conditional value-at-risk.	Oper. Res. Lett.	2007	DBLP DOI BibTeX RDF
11	Jun-ya Gotoh, Yuichi Takano	Newsvendor solutions via conditional value-at-risk minimization.	Eur. J. Oper. Res.	2007	DBLP DOI BibTeX RDF
11	Stefano Benati, Romeo Rizzi	A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem.	Eur. J. Oper. Res.	2007	DBLP DOI BibTeX RDF
11	Robert J. Kauffman, Ryan Sougstad	Value-at-Risk in IT Services Contracts.	HICSS	2007	DBLP DOI BibTeX RDF
11	Piotr Jaworski	Bounds for Value at Risk for Asymptotically Dependent Assets - the Copula Approach.	EUSFLAT Conf. (1)	2007	DBLP BibTeX RDF
11	Xing Jin, Allen X. Zhang	Reclaiming Quasi - Monte Carlo Efficiency in Portfolio Value-at-Risk Simulation Through Fourier Transform.	Manag. Sci.	2006	DBLP DOI BibTeX RDF
11	Christoph Hartz, Stefan Mittnik, Marc S. Paolella	Accurate value-at-risk forecasting based on the normal-GARCH model.	Comput. Stat. Data Anal.	2006	DBLP DOI BibTeX RDF
11	Alexandra Künzi-Bay, János Mayer	Computational aspects of minimizing conditional value-at-risk.	Comput. Manag. Sci.	2006	DBLP DOI BibTeX RDF
11	Edmond H. C. Wu, Philip L. H. Yu, Wai Keung Li	Value at Risk Estimation Using Independent Component Analysis-generalized Autoregressive Conditional Heteroscedasticity (ica-garch) Models.	Int. J. Neural Syst.	2006	DBLP DOI BibTeX RDF
11	Chueh-Yung Tsao, Chao-Kung Liu	Incorporating Value-at-Risk in Portfolio Selection: An Evolutionary Approach.	JCIS	2006	DBLP DOI BibTeX RDF
11	James W. Taylor	Generating Volatility Forecasts from Value at Risk Estimates.	Manag. Sci.	2005	DBLP DOI BibTeX RDF
11	Charles S. Tapiero	Value at risk and inventory control.	Eur. J. Oper. Res.	2005	DBLP DOI BibTeX RDF
11	Zdenek Zmeskal	Value at risk methodology under soft conditions approach (fuzzy-stochastic approach).	Eur. J. Oper. Res.	2005	DBLP DOI BibTeX RDF
11	Rania Hassan, Richard de Neufville, Douglas McKinnon	Value-at-risk analysis for real options in complex engineered systems.	SMC	2005	DBLP DOI BibTeX RDF
11	Jong-Shi Pang, Sven Leyffer	On the global minimization of the value-at-risk.	Optim. Methods Softw.	2004	DBLP DOI BibTeX RDF
11	Werner Hürlimann	Multivariate Fréchet copulas and conditional value-at-risk.	Int. J. Math. Math. Sci.	2004	DBLP DOI BibTeX RDF
11	Laurent El Ghaoui, Maksim Oks, François Oustry	Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach.	Oper. Res.	2003	DBLP DOI BibTeX RDF
11	J. David Cabedo Semper, Ismael Moya Clemente	Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis.	Eur. J. Oper. Res.	2003	DBLP DOI BibTeX RDF
11	Paul Embrechts, Andrea Höing, Alessandro Juri	Using copulae to bound the Value-at-Risk for functions of dependent risks.	Finance Stochastics	2003	DBLP DOI BibTeX RDF
11	Jianqing Fan, Juan Gu	Data-analytic approaches to the estimation of Value-at-Risk.	CIFEr	2003	DBLP DOI BibTeX RDF
11	Petter Wiberg	Computation of value-at-risk : the fast convolution method, dimension reduction and perturbation theory.		2002	RDF
11	Gianluca Fusai, Elisa Luciano	Dynamic value at risk under optimal and suboptimal portfolio policies.	Eur. J. Oper. Res.	2001	DBLP DOI BibTeX RDF
11	Germán Creamer, T. Noe, P. Spindt	Efficiency, performance and value-at-risk of Latin American banks in a process of economic integration.	CIFEr	2000	DBLP DOI BibTeX RDF
11	Stanislav Uryasev	Conditional value-at-risk: optimization algorithms and applications.	CIFEr	2000	DBLP DOI BibTeX RDF
11	Isaac J. Chang, Andreas S. Weigend	Nonlinear prediction of conditional percentiles for value-at-risk.	CIFEr	1999	DBLP DOI BibTeX RDF
11	Ron D'Vari, Juan C. Sosa	A new method for estimating value-at-risk of Brady bond portfolios.	CIFEr	1999	DBLP DOI BibTeX RDF
11	Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin	Stratification issues in estimating value-at-risk.	WSC	1999	DBLP DOI BibTeX RDF
11	Jin Peng, Shengguo Li	Bridges between Fuzzy Dominance and Credibilistic VaR Dominance.	FSKD (1)	2008	DBLP DOI BibTeX RDF
11	David A. Bader, Aparna Chandramowlishwaran, Virat Agarwal	On the Design of Fast Pseudo-Random Number Generators for the Cell Broadband Engine and an Application to Risk Analysis.	ICPP	2008	DBLP DOI BibTeX RDF
11	Rongjun Li, Xianying Chang	A Modified Genetic Algorithm with Multiple Subpopulations and Dynamic Parameters Applied in CVaR Model.	CIMCA/IAWTIC	2006	DBLP DOI BibTeX RDF
11	Kin Keung Lai, Kaijian He, Chi Xie, Shou Chen	Market Risk for Nonferrous Metals: A Wavelet Based VaR Approach.	ISDA (1)	2006	DBLP DOI BibTeX RDF
11	Shirish Chinchalkar, Thomas F. Coleman, Peter Mansfield	Financial Computations on Clusters Using Web Services.	International Conference on Computational Science (2)	2005	DBLP DOI BibTeX RDF
11	Shirish Chinchalkar, Thomas F. Coleman, Peter Mansfield	Cluster Computing for Financial Engineering.	PARA	2004	DBLP DOI BibTeX RDF
11	John M. Mulvey, Hafize G. Erkan	Simulation for risk management: risk management of a P/C insurance company scenario generation, simulation and optimization.	WSC	2003	DBLP DOI BibTeX RDF
6	Ciprian Docan, Manish Parashar, Christopher Marty	Advanced risk analytics on the cell broadband engine.	IPDPS	2009	DBLP DOI BibTeX RDF
6	Mukul Majmudar, Ciprian Docan, Manish Parashar, Christopher Marty	Cost vs. performance of VaR on accelerator platforms.	SC-WHPCF	2009	DBLP DOI BibTeX RDF
6	David B. Thomas, Wayne Luk	Multivariate Gaussian Random Number Generation Targeting Reconfigurable Hardware.	ACM Trans. Reconfigurable Technol. Syst.	2008	DBLP DOI BibTeX RDF	FPGA, Random numbers, multivariate Gaussian distribution
6	Paul P. Tallon, Richard Scannell	Information life cycle management.	Commun. ACM	2007	DBLP DOI BibTeX RDF
6	Nan Chen, L. Jeff Hong	Monte Carlo simulation in financial engineering.	WSC	2007	DBLP DOI BibTeX RDF
6	Guangwu Liu, L. Jeff Hong	Kernel estimation for quantile sensitivities.	WSC	2007	DBLP DOI BibTeX RDF
6	R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin	Optimality conditions in portfolio analysis with general deviation measures.	Math. Program.	2006	DBLP DOI BibTeX RDF	Mathematics Subject Classification (1991) 20E28, 20G40, 20C20
6	René Henrion, Jirí V. Outrata	Calmness of constraint systems with applications.	Math. Program.	2005	DBLP DOI BibTeX RDF	Mathematics Subject Classification (2000) 90C30, 49J53
6	Fred Tingey	Quantifying Requirements Risk.	XP	2005	DBLP DOI BibTeX RDF
6	Rafael Moreno-Vozmediano, Ana B. Alonso-Conde	Influence of Grid Economic Factors on Scheduling and Migration.	VECPAR	2004	DBLP DOI BibTeX RDF
6	Shing-Hoi Lee, Peter W. Glynn	Computing the distribution function of a conditional expectation via monte carlo: Discrete conditioning spaces.	ACM Trans. Model. Comput. Simul.	2003	DBLP DOI BibTeX RDF	Probability algorithms, distribution functions, conditional expectation
6	Thomas N. Herzog, Graham Lord	State of the art tutorial I: simulation modeling for finance and insurance: applications of simulation models in finance and insurance.	WSC	2003	DBLP DOI BibTeX RDF
6	Tatiana Miazhynskaia, Georg Dorffner, Engelbert J. Dockner	Risk Management Application of the Recurrent Mixture Density Network Models.	ICANN	2003	DBLP DOI BibTeX RDF