Value at Risk: Theory and Practice

By Glyn A. Holton. 2003

376 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a60a1f1d81d262255d54620cd6c7dacc0565dd7c

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Citations in the corpus

Testing for Restricted Stochastic Dominance (2013, unknown): “5 See inter alia Holton (2003) and Jorion (2001).”
Financial volatility trading using a self-organising neural-fuzzy semantic network and option straddle-based approach (2010, background): “Hence, ﬁnan-cial volatility is one indication of investment risk and is often viewed as a risk metric (Holton, 2003).”
Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach (2008, background): “According to Hendricks (1996) and Hilton (2003), the idea of VaR indicates the maximum amount of money that may be lost on a portfolio over a given period of time with a given confidence level, due to exposure to the market risk.”
Application of bootstrap method in conservative estimation of reliability with limited samples (2010, methodology): “Besides this α-conservative estimator, the mean of the δ-highest bootstrap values (conditional value-at-risk CVaR, (Holton 2003)) is also used as a conservative estimate.”
Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006, background): “An extensive discussion of VaR use in traditional financial markets can be found in Dowd (1998), Duffie and Pan (1997), Jorion (2000), Holton (2003) and Manganelli and Engle (2004), whilst energy VaR is detailed in Clewlow and Strickland (2000) and Eydeland and Wolyniec (2003).”
Entropic Value-at-Risk: A New Coherent Risk Measure (2012, background): “13–19 [33], for more on the history of the VaR).”