Journal of Banking and Finance

Journal of Banking and Finance

9 companion websites

Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall

Journal of Banking and Finance (2018)

Kratz Marie, Lok Yen H., and McNeil Alexander J.

The Risk Map: A New Tool for Validating Risk Models

Journal of Banking and Finance (2013)

Perignon Christophe, Hurlin Christophe, and Colletaz Gilbert

Pitfalls in Backtesting Historical Simulation VaR models

Journal of Banking and Finance (2012)

Escanciano Juan Carlos and Pei Pei

Disagreement versus Uncertainty: Evidence from Distribution Forecasts

Journal of Banking and Finance (2015)

Krüger Fabian and Nolte Ingmar

Unveiling the Embedded Coherence in Divergent Performance Rankings

Journal of Banking and Finance (2014)

Bosch-Badia Maria-Teresa, Montllor-Serrats Joan, and Tarrazon-Rodon Maria-Antonia

2014-01-23

Mathematica

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The Level and Quality of Value-at-Risk Disclosure by Commercial Banks

Journal of Banking and Finance (2010)

Perignon Christophe and Smith Daniel R.

Which Are the SIFIs? A Component Expected Shortfall (CES) Approach to Systemic Risk

Journal of Banking and Finance (2015)

Dumitrescu Elena-Ivona and Banulescu Denisa

Diversification and Value-at-Risk

Journal of Banking and Finance (2010)

Perignon Christophe and Smith Daniel R.

The Pernicious Effects of Contaminated Data in Risk Management

Journal of Banking and Finance (2011)

Perignon Christophe, Fresard Laurent, and Wilhelmsson Anders