Greg N Gregoriou

Model Risk in VaR Calculations

Plausible Operational Value-at-Risk Calculations for Management Decision Making

Risk-Managing the Uncertainty in VaR Model Parameters

Cash Flow at Risk: Linking Strategy and Finance

Value-At-Risk–Based Stop-Loss Trading

Risk Aggregation and Computation of Total Economic Capital

The Risk Modeling Evaluation Handbook

Value-at-Risk Performance Criterion: A Performance Measure for Evaluating Value-at-Risk Models

Aggregating and Combining Ratings

How Investors Face Financial Risk Loss Aversion and Wealth Allocation with Two-Dimensional Individual Utility: A VaR Application

Risk Measures and Their Applications in Asset Management

Value at Risk Under Heterogeneous Investment Horizons and Spatial Relations

Calculating VAR for Hedge Funds

Some Advanced Approaches to VaR Calculation and Measurement

Computational Aspects of Value at Risk

Explaining Cross-Sectional Differences in Credit Default Swap Spreads: An Alternative Approach Using Value at Risk

Emerging Markets

Applying VAR to Hedge Fund Trading Strategies: Limitations and Challenges

Option Pricing with Constant and Time-Varying Volatility

A Model to Measure Portfolio Risks in Venture Capital

Structural Credit Modeling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective

Modeling Portfolio Risks with Time-Dependent Default Rates in Venture Capital

Risk Evaluation of Sectors Traded at ISE with VaR Analysis

Efficient VAR: Using Past Forecast Performance to Generate Improved VaR Forecasts

Value at Risk for High-Dimensional Portfolios: A Dynamic Grouped t-Copula Approach

The VAR Implementation Handbook

Evaluating Hedge Fund and CTA Performance

Stock Market Volatility