Journal of Computational and Applied Mathematics · 2008 · 37 citations · 44 references
BusinessBiostatisticsRisk AnalysisStochastic ModelingUncertainty QuantificationCompeting RisksDependence ModelingRisk CharacterizationRisk EstimationRisk MeasurementRisk ModelingCopula EstimationCopula ModelsCopula-based Risk MeasurementCopula-based Risk ModelingElliptical Copulas
44
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
Business, Finance, Econometrics +11
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
Robert C. Merton · The Journal of Finance · 1974 · 11K citations · Full text
Business, Finance, Asset Pricing +16
Optimization of conditional value-at-risk
R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations
Business, Finance, Risk Management +17
Conditional value-at-risk for general loss distributions
R. T. Rockafellar, Stan Uryasev · Journal of Banking & Finance · 2002 · 3.7K citations
Business, Finance, Risk Management +14