Concepedia

Delta-gamma Var

Delta-Gamma VaR is a market risk measurement model that extends the standard Delta VaR approach by incorporating second-order price sensitivity through the gamma term to better capture nonlinearities in option-based portfolios.

51

Publications

4K

Citations

105

Authors

75

Institutions

Publications per year

2017–2026

7

Variants

Delta-gamma Value At Risk

Parents

Publications

51

The option pricing model and the risk factor of stock

Dan Galai, Ronald W. Masulis · Journal of Financial Economics · 1976 · 1.3K citations

, , +14

Measuring monetary policy with VAR models: An evaluation

Fabio C. Bagliano, Carlo A. Favero · European Economic Review · 1998 · 289 citations

, , +13

The effect of COVID – 19 pandemic on global stock market volatility: Can economic strength help to manage the uncertainty?

Moshfique Uddin, Anup Chowdhury, Keith Anderson et al. · Journal of Business Research · 2021 · 248 citations · Full text

, , +14

Bilateral gamma distributions and processes in financial mathematics

Uwe Küchler, Stefan Tappe · Stochastic Processes and their Applications · 2007 · 194 citations · Full text

, , +14

Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves

Mohamed Yousfi, Younes Ben Zaied, Nidhaleddine Ben Cheikh et al. · Technological Forecasting and Social Change · 2021 · 167 citations · Full text

, , +12

1–5 of 51

Authors

105

  1. CA
    Carlo A. Favero

    Bocconi University, Italy

    4 publications · 496 citations

    4

    h-index

  2. FC
    Fabio C. Bagliano

    University of Turin, Italy

    4 publications · 496 citations

    4

    h-index

  3. NS
    Nicholas S. Magginas

    Athens University of Economics and Business, Greece

    2 publications · 112 citations

    2

    h-index

  4. PH
    Philip Heidelberger

    IBM Research - Thomas J. Watson Research Center, United States

    2 publications · 85 citations

    2

    h-index

  5. SN
    Sophocles N. Brissimis

    ATEbank (Greece), Greece

    2 publications · 112 citations

    2

    h-index

1–5 of 105

Institutions

75

  1. Centre for Economic Policy Research

    London, United Kingdom

    5 h-index

    5 publications

    553 citations

  2. University of Turin

    Turin, Italy

    4 h-index

    4 publications

    496 citations

  3. Bocconi University

    Milan, Italy

    4 h-index

    4 publications

    496 citations

  4. Athens University of Economics and Business

    Athens, Greece

    2 h-index

    2 publications

    112 citations

  5. Collegio Carlo Alberto

    Moncalieri, Italy

    2 h-index

    2 publications

    114 citations

  6. University of Geneva

    Geneva, Switzerland

    2 h-index

    2 publications

    70 citations

  7. University of Münster

    Münster, Germany

    1 h-index

    1 publications

    31 citations

  8. Paris School of Business

    Paris, France

    1 h-index

    1 publications

    167 citations

1–8 of 75

Venues

  1. SSRN Electronic Journal

    Repository · 3 publications · 142 citations

    3

    h-index

  2. Journal of Monetary Economics

    2 publications · 194 citations

    2

    h-index

  3. Economic Modelling

    2 publications · 28 citations

    2

    h-index

  4. Journal of Financial Economics

    2 publications · 1.3K citations

    2

    h-index

  5. International Review of Economics & Finance

    2 publications · 23 citations

    2

    h-index

1–5