References
- Acharya V. et al. Measuring systemic risk 2009 Working paper,http://econ-www.-mit.edu/files/4907
- Adrian , T. and Brunnermeier , M. 2010 . CoVaR Working paper,http://www.princeton.edu/markus/research/-papers/CoVaR
- Artzner P. et al. Thinking coherently Risk 1997 10 11 68 81
- Artzner P. et al. Coherent measures of risk Mathematical Finance 1999 9 3 203 228
- Cherububu , U. , Luciano , E. and Vecchiato , W. 2004 . Copula Methods in Finance , West Sussex : John Wiley & Sons Ltd .
- Dietsch , M. and Petey , J. 2002 . The credit risk in SME loans portfolios: Modeling issues, pricing, and capital requirements . Journal of Banking and Finance , 26 ( 2-3 ) : 303 – 322 .
- Fermanian , J. and Scaillet , O. 2005 . Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements . Journal of Banking and Finance , 29 ( 4 ) : 927 – 958 .
- Glasserman , P. 2005 . Measuring marginal risk contributions in credit portfolios . Journal of Computational Finance , 6 ( 1 ) : 1 – 41 .
- Gourieroux , C. , Laurent , J. and Scaillet , O. 2000 . Sensitivity analysis of Values at Risk . Journal of Empirical Finance , 7 ( 3-4 ) : 225 – 245 .
- Hallerbach , W. 2003 . Decomposing portfolio Value at Risk: A general analysis . Journal of Risk , 5 ( 2 ) : 1 – 18 .
- Hu , H. and Fang , Z. 2003 . Portfolio Value-at-Risk and its decomposition . Chinese Journal of Management Science , 11 ( 3 ) : 1 – 5 . (In Chinese)
- Hu , H. and Fang , Z. 2008 . Stability analysis of the expected shortfall estimation . Journal of Systems Engineering , 23 ( 5 ) : 526 – 531 . (In Chinese)
- Huang , X. , Oosterlee , C. and Mester , M. 2007 . Computation of VaR and VaR contribution in the vasicek portfolio credit loss model: A comparative study . Journal of Credit Risk , 3 ( 3 ) : 75 – 96 .
- Kole , E. , Koedijk , K. and Verbeek , M. 2007 . Selecting Copulas for risk management . Journal of Banking and Finance , 31 ( 8 ) : 2405 – 2423 .
- Lao , L. and Shao , Y. 2005 . An empirical research on volatility characteristics of industrial stock price indices . Nankai Business Review , 8 ( 5 ) : 4 – 8 . (In Chinese)
- Leippold , M. 2004 . Don’t rely on VaR 46 – 49 . London
- Nelson , R. 2006 . An Introduction to Copulas , New York : Springer .
- Rosen , D. and Saunders , D. 2010 . Risk factor contributions in portfolio credit risk models . Journal of Banking and Finance , 34 ( 2 ) : 336 – 349 .
- Rosenberg , J. and Schuermnn , T. 2006 . A general approach to integrated risk management with skewed, fattailed risks . Journal of Financial Economics , 79 ( 3 ) : 569 – 614 .
- Shao , X. and Zhang , Y. 2003 . The assessment and management of portfolio risk based on VaR . Quantitative & Technical Economics , 12 : 66 – 70 . (In Chinese)
- Tasche , D. 2000 . Risk contributions and performance measurement Working paper,http://cite-seerx.ist.psu.edu/view-doc/download? DOI=10.-1.1.44.3268&rep=rep1 &type=pdf
- Tasche , D. 2002 . Expected shortfall and beyond . Journal of Banking and Finance , 26 ( 7 ) : 1519 – 1533 .
- Tasche , D. 2009 . Capital allocation for credit portfolios with kernel estimators . Quantitative Finance , 9 ( 5 ) : 581 – 595 .
- Wong , W. 2010 . Backtesting Value-at-Risk based on tail losses . Journal of Empirical Finance , 17 ( 3 ) : 526 – 538 .
- Wong , W. and Copeland , L. 2008 . Risk measurement and management in a crisis-prone world Working paper, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1265-285
- Yamai , Y. and Yoshiba , T. 2002 . Comparative analyses of expected shortfall and Value-at-Risk: Estimation error, decomposition and optimization . Monetary and Economic Studies , 20 ( 1 ) : 87 – 122 .
- Yamai , Y. and Yoshiba , T. 2005 . Value-at-Risk versus expected shortfall: A practical perspective . Journal of Banking and Finance , 29 : 997 – 1015 .