[
Alexander, C. (2009). Market risk analysis, value at risk models. Vol. 4. John Wiley & Sons.
]Search in Google Scholar
[
Butler, C. (1999). Mastering value at risk: A step-by-step guide to understanding and applying VaR. Financial Times/Prentice Hall.
]Search in Google Scholar
[
Chowdhury, P. D.; Bhattacharya, B. (2015). Estimation of value at risk (VaR) in the context of the global financial crisis of 2007–08: Application on selected sectors in India. Indian Journal of Research in Capital Markets 2(2): 7–25.
]Search in Google Scholar
[
Coronado, M. (2000). Comparing different methods for estimating value-at-risk (VaR) for actual non-linear portfolios: Empirical evidence. Working paper – Facultad de Ciencias Economicas y Empresariales, ICADE, Universidad P. Comillas de Madrid, Madrid, Spain.
]Search in Google Scholar
[
Crouhy, M., Galai, D.; Mark, R. (2006). The essentials of risk management. Vol. 1. New York: McGraw-Hill.
]Search in Google Scholar
[
Dowd, K. (2007). Measuring market risk. John Wiley & Sons.
]Search in Google Scholar
[
Dutta, D.; Bhattacharya, B. (2008). A bootstrapped historical simulation value at risk approach to S & P CNX Nifty. The National Conference on Money and Banking, IGIDR, Mumbai, India.
]Search in Google Scholar
[
Harmantzis, F. C.; Miao, L.; Chien, Y. (2006). Empirical study of value-at-risk and expected shortfall models with heavy tails. The Journal of Risk Finance 7(March): 117–135.
]Search in Google Scholar
[
Kisacik, A. (2006). High volatility, heavy tails and extreme values in value at risk estimation. Institute of Applied Mathematics, Financial Mathematics/Life Insurance Option Program, Middle East Technical University – term project.
]Search in Google Scholar
[
Kupiec, P. (1995). Techniques for verifying the accuracy of risk measurement models. The Journal of Derivatives 3(2): 76–84.
]Search in Google Scholar
[
Maghyereh, A. I.; Al-Zoubi, H. A. (2006). Value-at-risk under extreme values: The relative performance in MENA emerging stock markets. International Journal of Managerial Finance 2(July): 154–172.
]Search in Google Scholar
[
Morgan, J. P. (1996). Risk metrics technology document. Morgan Guaranty Trust Company of New York, New York. 35–65.
]Search in Google Scholar
[
Nath, G. C.; Samanta, G. P. (2003). Value at risk: Concept and its implementation for Indian banking system. Available at: https://ssrn.com/abstract=473522.
]Search in Google Scholar
[
Penza, P.; Bansal, V. K.; Bansal, V. K.; Bansal, V. K. (2001). Measuring market risk with value at risk. Vol. 17. John Wiley & Sons.
]Search in Google Scholar
[
Philippe, J. (2001). Value at risk: The new benchmark for managing financial risk. NY: McGraw-Hill Professional.
]Search in Google Scholar
[
Poornima, B. G.; Reddy, Y. V. (2017). An analysis of portfolio VaR: Variance– covariance approach. IUP Journal of Applied Finance 23(3): 63–79.
]Search in Google Scholar
[
Şener, E.; Baronyan, S.; Mengütürk, L. A. (2012). Ranking the predictive performances of value-at-risk estimation methods International Journal of Forecasting 28(4): 849–873.10.1016/j.ijforecast.2011.10.002
]Search in Google Scholar
[
Sollis, R. (2009). Value at risk: A critical overview Journal of Financial Regulation and Compliance 17(November): 398–414.10.1108/13581980911004370
]Search in Google Scholar
[
Samanta, G. P.; Jana, P.; Hait, A.; Kumar, V. (2010). Measuring market risk – An application of value-at-risk to select government bonds in India Reserve Bank of India Occasional Papers 31(1): 2–32.
]Search in Google Scholar
[
Varma, J. R. (1999). Value at Risk Models in Indian Stock Market. Working paper no. 99-07-05. Indian institute of Management.
]Search in Google Scholar
[
Venkataraman, S. (1997). Value at risk for a mixture of normal distributions: The use of quasi-Bayesian estimation techniques Economic Perspectives – Federal Reserve Bank of Chicago 21: 2–13.
]Search in Google Scholar
[
Zangari, P. (1996). An improved methodology for measuring VaR RiskMetrics Monitor 2(1): 7–25.
]Search in Google Scholar
