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scopus: 6701666851

Danielsson, J.

( J. Danielsson)


return distribution sample estimate value probability method order number index portfolio result estimation estimator problem tail index table bootstrap statistic model board level management manager simulation function procedure option system risk manager state quantile theorem tailed variance parameter observation journal price theory process property regulation asset order statistics solution proof subsample analysis approach risk management system value theory student-t prediction choice measure danielsson constraint paper application data sets condition riskmetric volatility market example garch assumption risk management violation value-at-risk moment finance contract capital stock subadditivity threshold downside risk measures utility




10 Most Recent Publications

Fat tails, VaR and subadditivity (Article)
Danielsson, J. Jorgensen, B.N. Samorodnitsky, G. Sarma, M. Vries, C.G. de
2012-09-19
Comparing downside risk measures for heavy tailed (Article)
Danielsson, J. Jorgensen, B.N. Sarma, M. Vries, C.G. de
2006-08-01
Incentives for effective risk management (Article)
Danielsson, J. Jorgensen, B.N. Vries, C.G. de
2002-07-30
Incentives for Effective Risk Management (Research Paper)
Danielsson, J. Jorgensen, B.N. Vries, C.G. de
2001-10-09
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation (Research Paper)
Danielsson, J. Jorgensen, B.N. Vries, C.G. de Yang, X.
2001-06-30
Using a bootstrap method to choose the sample fraction in tail index estimation (Article)
Danielsson, J. Peng, L. Vries, C.G. de Haan, L.F.M. de
2001-02-01
Using a bootstrap method to choose the sample fraction in tail index estimation (Research Paper)
Danielsson, J. Haan, L.F.M. de Peng, L. Vries, C.G. de
2000-05-25
Value-at-risk and extreme returns (Article)
Danielsson, J. Vries, C.G. de
2000-01-01
Abnormal Returns, Risk, and Options in Large Data Sets (Research Paper)
Caserta, S. Danielsson, J. Vries, C.G. de
1998-10-09
Abnormal returns, risk and options in large date sets (Article)
Caserta, S. Danielsson, J. Vries, C.G. de
1998-01-01
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