Market Risk Analysis

By C. Alexander. 2009

156 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1e975dfba256615dbb41a6e032571afc38c4982a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Andrew J. Patton
2. Chen Zhou
3. Tim Bollerslev
4. Kevin Sheppard
5. Brendan K. Beare
6. S. J. Koopman
7. D. Oh
8. Drew D. Creal

Citations in the corpus

• Book review: quantitative risk management: concepts, techniques and tools, revised edition, by A.F. McNeil, R. Frey and P. Embrechts. Princeton University Press, 2015, ISBN 978-0-691-16627-8, xix + 700 pp. (2017, background): “For example, Alexander (2008) aimed at a similar target, but for explaining market risk analysis only.”
• A review of copula models for economic time series (2012, background): “[110] and Alexander [4] provide clear and detailed textbook treatments of copulas and risk management.”
• Copula Methods for Forecasting Multivariate Time Series (2013, background): “McNeil, et al. (2005) and Alexander (2008) provide clear and detailed textbook treatments of copulas and risk management.”