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An Application of Extreme Value Theory for Measuring Risk, Manfred Gilli, Evis Kellezi, Department of Econometrics, University of Geneva and FAME, February 2003
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Extreme Value Theory for Risk Managers, Alexander J. McNeil, Departement Mathematik, ETH Zentrum, Zurich, May 1999
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Cost Functions and Model Combination for VaR-Based Asset Allocation Using Neural Networks, NICOLAS CHAPADOS AND YOSHUA BENGIO, Computer Science and Operations Research Department, University of Montreal and CIRANO, May 2000
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Artificial Neural Networks: The next intelligence, Amit Khajanchi, University of Sothern California
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Artificial Neural Networks for Valuation of Financial Derivatives and Customized Option Embedded Contracts, Christakis Charalambous and Spiros H. Martzoukos, Department of Public and Business Administration and HERMES Center of Excellence on Computational Finance and Economics, University of Cyprus, May 2001
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Alternative Neural Network Approach for Option Pricing and Hedging, Andrew Carverhill, Terry H.F. Cheuk
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Financial Applications of Copula Functions, Jean-Frederic Jouanin, Gael Riboulet and Thierry Roncalli, Groupe de Recherche Operationnelle, Credit Lyonnais, France
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Estimation of Copula-Based Semiparametric Time Series Models, Xiaohong Chen, Yanqin Fan, February 2004
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Some Statistical Pitfalls in Copula Modeling for Financial Applications, Jean-David FERMANIAN, Olivier SCAILLET, March 2004
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Modelling Dependence with Copulas and Applications to Risk Management, Paul Embrechts, Filip Lindskog and Alexander McNeil, Department of Mathematics, Zurich, September 10, 2001
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Goodness of Fit Tests for Copulas, Jean-David FERMANIAN, September 30, 2001.
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Risk-Based Performance Management –Making it Work, Peyman Mestchian, SAS EMEA and Gary Cokins, SAS International, Journal of Risk Intelligence
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