output
20052026
most citedOperational Research: Methods and Applications

120 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing q-fin.RMShow all

2 papers · 1 filter

q-fin.RM2011

Implied correlation from VaR

John Cotter, François Longin

Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR cal…

q-fin.RM2010

Alarm System for Insurance Companies: A Strategy for Capital Allocation

Shubhabrata Das, Marie Kratz

One possible way of risk management for an insurance company is to develop an early and appropriate alarm system before the possible ruin. The ruin is defined through the status of…