Risk Analysis for Asset Managers: Historical Simulation, the Bootstrap Approach and Value at Risk Calculation

Evaluating Interval Forecasts

Peter Christoffersen · International Economic Review · 1998 · 2.7K citations

Business, Economics, Risk Management +17

Large Sample Properties of Simulations Using Latin Hypercube Sampling

Michael L. Stein · Technometrics · 1987 · 2K citations

Business, Computer Science, Actuators +16

Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

Alexander J. McNeil, Rüdiger Frey · Journal of Empirical Finance · 2000 · 1.7K citations

Business, Economics, Finance +16

Large Sample Properties of Simulations Using Latin Hypercube Sampling

Michael L. Stein · Technometrics · 1987 · 1.3K citations

Business, Computer Science, Actuators +16

Techniques for Verifying the Accuracy of Risk Measurement Models

Paul Kupiec · The Journal of Derivatives · 1995 · 439 citations · Full text

Business, Finance, Risk Management +17