VaR performance during the subprime and sovereign debt crises: An application to emerging markets
Year of publication: |
2014
|
---|---|
Authors: | Brio, Esther B. Del ; Mora-Valencia, Andrés ; Perote, Javier |
Published in: |
Emerging Markets Review. - Elsevier, ISSN 1566-0141. - Vol. 20.2014, C, p. 23-41
|
Publisher: |
Elsevier |
Subject: | Value-at-risk | Backtesting | Skewed Student's t | Extreme value theory | Gram–Charlier expansion | Hedge funds |
-
VaR performance during the subprime and sovereign debt crises : an application to emerging markets
Brio, Esther B. del, (2014)
-
Szubzda, Filip, (2019)
-
How accurate are modern value-at-risk estimators derived from extreme value theory?
Auer, Benjamin R., (2016)
- More ...
-
VaR performance during the subprime and sovereign debt crises : an application to emerging markets
Brio, Esther B. del, (2014)
-
Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del, (2019)
-
Risk quantification for commodity ETFs: backtesting value-at-risk and expected shortfall
Brio, Esther B. del, (2020)
- More ...