References
- Alexander , G. J. and Baptista , A. M. 2002 . Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis . Journal of Economic Dynamics and Control , 26 : 1159 – 93 .
- Alexander , G. J. and Baptista , A. M. 2004 . A comparison of VaR and CVaR constraints on portfolio selection with the mean-variance model . Management Science , 50 : 1261 – 73 .
- Alexander , G. J. and Baptista , A. M. 2006 . Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach . Journal of Monetary Economics , 53 : 1631 – 60 .
- Alexander , G. J. , Baptista , A. M. and Yan , S. 2008 . “ Bank risk management with value-at-risk and stress testing: An alternative to conditional value-at-risk? ” . MN : Carlson School of Management, University of Minnesota . Working Paper
- Artzner , P. , Delbaen , F. , Eber , J.-M. and Heath , D. 1999 . Coherent measures of risk . Mathematical Finance , 9 : 203 – 28 .
- Ball , J. and Fang , V. 2006 . A survey of value-at-risk and its role in the banking industry . Journal of Financial Education , 32 : 1 – 31 .
- Basle Committee on Banking Supervision . 2006 . Basel II: International convergence of capital measurement and capital standards: A revised framework . http://www.bis.org/bcbs/
- Black , F. 1972 . Capital market equilibrium with restricted borrowing . Journal of Business , 45 : 444 – 55 .
- Committee on the Global Financial System . 2005 . Stress testing at major financial institutions: Survey results and practice . http://www.bis.org/cgfs/index.htm
- Crouhy , M. , Galai , D. and Mark , R. 2006 . The essentials of risk management , New York : McGraw-Hill .
- Greenspan , A. 2008 . We will never have a perfect model of risk . Financial Times , 16 March http://www.ft.com/cms/s/0/edbdbcf6-f360-11dc-b6bc-0000779fd2ac.html?nclick_check=1
- Hull , J. C. 2007 . Risk management and financial institutions , Upper Saddle River, NJ : Pearson Prentice Hall .
- Jorion , P. 2007 . Value at risk: The new benchmark for managing financial risk , New York : McGraw-Hill .
- Merton , R. C. 1972 . An analytic derivation of the efficient portfolio frontier . Journal of Financial and Quantitative Analysis , 7 : 1851 – 72 .
- Taleb , N. N. 2007 . The Black Swan: The impact of the highly improbable , New York : Random House .