Fat tails, VaR and subadditivity
Daníelsson, Jón, Jorgensen, Bjørn N., Samorodnitsky, Gennady, Sarma, Mandira, de Vries, Casper G.
Published in Journal of econometrics (01.02.2013)
Published in Journal of econometrics (01.02.2013)
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Journal Article
Systemic risk and diversification across European banks and insurers
Slijkerman, Jan Frederik, Schoenmaker, Dirk, de Vries, Casper G.
Published in Journal of banking & finance (01.03.2013)
Published in Journal of banking & finance (01.03.2013)
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Journal Article
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
Danielsson, J., de Haan, L., Peng, L., de Vries, C.G.
Published in Journal of multivariate analysis (01.02.2001)
Published in Journal of multivariate analysis (01.02.2001)
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Journal Article
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
Baye, Michael R., Kovenock, Dan, de Vries, Casper G.
Published in The Economic journal (London) (01.07.2005)
Published in The Economic journal (London) (01.07.2005)
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Journal Article
The Herodotus paradox
Baye, Michael R., Kovenock, Dan, de Vries, Casper G.
Published in Games and economic behavior (2012)
Published in Games and economic behavior (2012)
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Journal Article
Comparing downside risk measures for heavy tailed distributions
Daníelsson, Jón, Jorgensen, Bjørn N., Sarma, Mandira, de Vries, Casper G.
Published in Economics letters (01.08.2006)
Published in Economics letters (01.08.2006)
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Journal Article
Incentives for effective risk management
Danı́elsson, Jón, Jorgensen, Bjørn N., de Vries, Casper G.
Published in Journal of banking & finance (01.07.2002)
Published in Journal of banking & finance (01.07.2002)
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Journal Article
Risk measurement
Vries, C.G. De, Matteo, T Di, Aste, T, Dacorogna, M M, Inui, K, Kijima, M, Gagliardini, P, Gouriéroux, C, Giorgi, E De, Fermanian, J D, Scaillet, O, Audrino, F, Barone-Adesi, G, Giannopoulos, K, Tunaru, R, Yamai, Y, Yoshiba, T, Longin, F
Published in Journal of banking & finance (01.04.2005)
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Published in Journal of banking & finance (01.04.2005)
Journal Article
Statistical and computational problems in risk management: VaR and beyond VaR
Szegö, G, Daníelsson, J, Geman, H, Frey, R, McNeil, A J, Gordy, M B, Consigli, G, Hu, Y T, Kiesel, R, Perraudin, W, Jorgensen, B N, Vries, C.G. de, Blum, J M, Rockafellar, R T, Uryasev, S, Frittelli, M, Gianin, E Rosazza, Acerbi, C, Tasche, D, Topaloglou, N, Vladimirou, H, Zenios, S A
Published in Journal of banking & finance (01.07.2002)
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Published in Journal of banking & finance (01.07.2002)
Journal Article
Endogeneity in European money demand
Arnold, Ivo J.M., de Vries, Casper G.
Published in European Journal of Political Economy (01.11.2000)
Published in European Journal of Political Economy (01.11.2000)
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Journal Article
The limiting distribution of extremal exchange rate returns
Hols, Martien C. A. B., De Vries, Casper G.
Published in Journal of applied econometrics (Chichester, England) (01.07.1991)
Published in Journal of applied econometrics (Chichester, England) (01.07.1991)
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