Tail risk in energy portfolios
Year of publication: |
2014
|
---|---|
Authors: | González-Pedraz, Carlos ; Moreno, Manuel ; Peña Sánchez de Rivera, Juan Ignacio |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 46.2014, p. 422-434
|
Subject: | Asymmetric DCC | Multivariate generalized hyperbolic distributions | Tail risk | Skewness | Risk measure backtests | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Risiko | Risk | Portfolio-Management | Portfolio selection | Theorie | Theory | Schätzung | Estimation | Risikomanagement | Risk management | Messung | Measurement |
-
Backtesting expected shortfall : accounting for tail risk
Du, Zaichao, (2015)
-
Backtesting expected shortfall : accounting for tail risk
Du, Zaichao, (2017)
-
Risk measures based on benchmark loss distributions
Bignozzi, Valeria, (2018)
- More ...
-
Portfolio selection with commodities under conditional copulas and skew preferences
González-Pedraz, Carlos, (2015)
-
Tail risk in energy portfolios
González-Pedraz, Carlos, (2014)
-
Pricing tranched credit products with generalized multifactor models
Moreno, Manuel, (2007)
- More ...