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Básica:[1] FRASER, John SIMKINS, Betty (Ed.). Enterprise risk management: Today's leading research and best practices for tomorrow's executives. John Wiley & Sons, 2010.[2] JORION, P. Value-at-Risk: The new benchmark for controlling market risk, McGraw-Hill, New York, 1997[3] AEBI, V. SABATO, G. SCHMID, M.. Risk management, corporate governance, and bank performance in the financial crisis. Journal of Banking & Finance. v. 36. n. 12. p. 3213-3226. 2012.[4] BERRY-STÖLZLE, T. R. XU, J. Enterprise risk management and the cost of capital. Journal of Risk and Insurance. v. 85. n. 1. p. 159-201. 2018.[5] HOYT, R. E. LIEBENBERG, A. P. The value of enterprise risk management. Journal of Risk and Insurance. v. 78. n. 4. p. 795-822. 2011.[6] OLIVEIRA, K., MÉXAS, M., MEIRIÑO, M. DRUMOND, G. Critical success factors associated with the implementation of enterprise risk management. Journal of Risk Research. p. 1-16. 2018.Complementar:JORION, P., Financial Risk Manager. Hoboken, New Jersey: John Wiley & Sons Inc., 2003. KIMURA, H. SUEN, A. S. PERERA L. C. J. BASSO, L. F. C. Value at Risk - Como entender e calcular o risco pelo VaR: uma contribuição para a gestão no Brasil. Ribeirão Preto, SP: Inside Books, 2008.Committee of Sponsoring Organizations of the Treadway Commission. COSO gerenciamento de riscos corporativos - Estrutura integrada: Sumário executivo. 2007.OUTRAS BIBLIOGRAFIASALEXANDER, Carol. Value-at-risk Models. England. USA: John Wiley & Sons, 2008.BASAK, S. SHAPIRO A. Value at Risk based risk management: optimal policies and assets prices. Review of Financial Studies.Vol14, pg. 371-405, 2001.BENSALAH, Y. Steps in Applying Extreme Value Theory to Finance: A Review, Working Paper N.º 20, Bank of Canada, Ottawa, 2000.BERNSTEIN, P. L. Against the gods: the remarkable story of risk. New York: John Wiley & Sons, 1996.BESSIS, Joel. Risk Management in Banking. New York: John Wiley & Sons, 1998.BOLLERSLEV, T.R. “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics nº 51, p. 307-327, 1986.BROOKS, C., CLARE, A.D., DALLE MOLLE, J.W. e PERSAND, G.A comparison of extreme value theory approaches for determining value at risk. Journal of Empirical Finance 12, 339-352 (2005).DAMODARAN, A. Strategic Risk Taking: a framework for risk management. USA: Pearson Education, 2008.DEMOULIN, Valérie C. ROEHRL Armin. Extreme Value Theory can save your neck. January, 2004. Disponível em:<http://www.approximity.com/papers/evt_wp.pdf>. Acesso em 28/08/2010.DUFFIE, D. PAN, J.An overview of Value at Risk.Journal of Derivatives.Vol. 4, pg. 7-49, 1997.EMBRECHTS, P., C. KLUPPELBERG & T. MIKOSCH. Modelling Extremal Events for Insurance and Finance. Berlin: Springer, 1997.ENGLE, R.F. “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation”, Revista Econométrica n.º 50, p. 987-1007, 1982.JORION, P., Value-at-Risk: The new benchmark for controlling market risk, McGraw-Hill, New York, 1997.JORION, P. Financial Risk Manager, John Wiley & Sons, Inc., Hoboken, New Jersey, 2003.KIMURA, H. SUEN, A. S. PERERA L. C. J. BASSO, L. F. C. Value at Risk - Como entender e calcular o risco pelo VaR: uma contribuição para a gestão no Brasil. Ribeirão Preto, SP: Inside Books, 2008.KUPIEC, P. “Techniques for Verifying the Accuracy of Risk Measurement Models”. Journal of derivatives n.º 2, p. 73-84, 1995.MANGANELLI, Simone and ENGLE, Robert F. Value at Risk Models in Finance (August 2001). ECB Working Paper No. 75. Available at SSRN: http://ssrn.com/abstract=356220.McNEIL, A. J. Calculating Quantile Risk Measures for Financial Return Series using Extreme Value Theory.Department Methematik, ETH Zentrum, Zurich, 1998.MORGAN J.P. RiskMetrics: Technical document, New York, 1996.RISKMETRICS. Technical Document, Morgan Guaranty Trust Company of New York. 1996.ROGOFF, K. S. REINHART, C. M. Oito séculos de delírios financeiros: desta vez é diferente. Tradução: Afonso Celso da Cunha Serra. Rio de Janeiro: Elsevi |
