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1

A formalized, integrated and visual approach to stress testing

Denev, Alexander, Mutnikas, Yaacov

Journal:

Risk Management

Year:

2016

Language:

english

File:

PDF, 1.16 MB

english, 2016

2

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Specifying scenarios: the Meucci approach

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 124 KB

english, 2013

3

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Choosing and fitting the copula

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 421 KB

english, 2013

4

Underdetermination and Variability of the Results in Macro-to-Micro Stress Tests A Machine Learning Approach

Denev, Alexander, Angelini, Orazio

Journal:

SSRN Electronic Journal

Year:

2016

File:

PDF, 1013 KB

2016

5

Credit Portfolio Models in the Presence of Forward-Looking Stress Events

Denev, Alexander

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 306 KB

english, 2012

6

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Analysis of portfolio allocation

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 38 KB

english, 2013

7

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Diversification in Modern Portfolio Theory

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 205 KB

english, 2013

8

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Building scenarios for causal Bayesian nets

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 91 KB

english, 2013

9

Probing mixed tetragonal/rhombohedral-like monoclinic phases in strained bismuth ferrite films by optical second harmonic generation

Kumar, Amit, Denev, Sava, Zeches, Robert J., Vlahos, Eftihia, Podraza, Nikolas J., Melville, Alexander, Schlom, Darrell G., Ramesh, R., Gopalan, Venkatraman

Journal:

Applied Physics Letters

Year:

2010

Language:

english

File:

PDF, 678 KB

english, 2010

10

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || How this book came about

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 95 KB

english, 2013

11

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || How we deal with exceptional events

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 48 KB

english, 2013

12

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Working with the full distribution

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 48 KB

english, 2013

13

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Stability analysis

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 375 KB

english, 2013

14

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Extreme Value Theory

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 81 KB

english, 2013

15

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Additional more advanced topics

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 169 KB

english, 2013

16

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Numerical implementation

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 37 KB

english, 2013

17

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Econophysics

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 100 KB

english, 2013

18

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || More advanced topics: elicitation

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 284 KB

english, 2013

19

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Utility theory: problems and remedies

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 169 KB

english, 2013

20

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Our approach in its context

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 37 KB

english, 2013

21

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Correlation and causation

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 153 KB

english, 2013

22

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Bayesian nets

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 444 KB

english, 2013

23

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Splicing the normal and exceptional distributions

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 223 KB

english, 2013

24

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Numerical analysis

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 551 KB

english, 2013

25

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Stability: a first look

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 243 KB

english, 2013

26

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || How to use Bayesian nets: our recommended approach

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 464 KB

english, 2013

27

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Identification of the body of the distribution

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 1.78 MB

english, 2013

28

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Diversification and subjective views

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 38 KB

english, 2013

29

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || A real-life example: building a realistic Bayesian net

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 679 KB

english, 2013

30

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Optimizing the expected utility over the weights

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 127 KB

english, 2013

31

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Dealing with normal-times returns

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 49 KB

english, 2013

32

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Predictability and causality

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 111 KB

english, 2013

33

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Applied tools

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 211 KB

english, 2013

34

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Approximations

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 155 KB

english, 2013

35

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Applying expected utility

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 132 KB

english, 2013

36

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Dealing with extreme events

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 38 KB

english, 2013

37

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Building Bayesian nets in practice

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 48 KB

english, 2013

38

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || A framework for choice

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 49 KB

english, 2013

39

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || References

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 127 KB

english, 2013

40

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Diversification and stability in the Black–Litterman model

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 265 KB

english, 2013

41

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Constructing the marginals

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 173 KB

english, 2013

42

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Definitions and notation

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 101 KB

english, 2013

43

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || The full allocation procedure: a case study

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 929 KB

english, 2013

44

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || The links with CAPM and private valuations

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 188 KB

english, 2013

45

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || The links with the Black–Litterman approach

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 109 KB

english, 2013

46

Imputation of Multivariate Time Series Data - Performance Benchmarks for Multiple Imputation and Spectral Techniques

Bauer, Johannes, Angelini, Orazio, Denev, Alexander

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 2.00 MB

english, 2017

47

Why Model Interconnectedness Matters and a Technique to Approach it

Denev, Alexander, Angelini, Orazio, Papaioannou, Adrien

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 1.43 MB

english, 2017

48

The Chicago Consensus guidelines for peritoneal surface malignancies: Introduction

Turaga, Kiran, Ahuja, Nita, Richard Alexander, H., Abbott, Daniel E., Badgwell, Brian, Baumgartner, Joel M., Choudry, M. Haroon A., Cusack, James C., Deneve, Jeremiah L., Esquivel, Jesus, Foster, Jaso

Journal:

Year:

2020

File:

PDF, 121 KB

2020

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