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~person:"Adrian, Tobias"
~person:"Cai, Zongwu"
~person:"Pei, Pei"
~subject:"Credit risk"
~subject:"Estimation theory"
~subject:"Estimation"
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Search: subject:"Value at Risk"
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Credit risk
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27
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7
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6
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6
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Adrian, Tobias
Cai, Zongwu
Pei, Pei
McAleer, Michael
33
Allen, David E.
29
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17
Härdle, Wolfgang
16
Lucas, André
14
Stoja, Evarist
14
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12
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11
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10
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10
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10
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10
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10
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9
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9
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9
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9
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9
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9
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8
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8
Mittnik, Stefan
8
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8
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8
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8
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7
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7
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7
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7
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7
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7
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ECONIS (ZBW)
17
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1
A functional-coefficient VAR model for dynamic quantiles and its application to constructing nonparametric financial network
Cai, Zongwu
;
Liu, Xiyuan
;
Su, Liangjun
-
2024
Persistent link: https://www.econbiz.de/10014521096
Saved in:
2
A nonparametric dynamic network via multivariate quantile autoregressions
Cai, Zongwu
;
Liu, Xiyuan
-
2022
Persistent link: https://www.econbiz.de/10013283992
Saved in:
3
Powerful backtests for historical simulation expected shortfall models
Du, Zaichao
;
Pei, Pei
;
Wang, Xuhui
;
Yang, Tao
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 864-874
Persistent link: https://www.econbiz.de/10015053499
Saved in:
4
Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu
;
Ma, Chaoqun
;
Mi, Xianhua
-
2020
Persistent link: https://www.econbiz.de/10012312856
Saved in:
5
A functional-coefficient VAR model for dynamic quantiles with constructing financial network
Cai, Zongwu
;
Liu, Xiyuan
-
2020
Persistent link: https://www.econbiz.de/10012312878
Saved in:
6
Assessing tail risk using expectile regressions with partially varying coefficients
Cai, Zongwu
;
Fang, Ying
;
Tian, Dingshi
-
2018
Persistent link: https://www.econbiz.de/10011965749
Saved in:
7
Forecasting macroeconomic risks
Adams, Patrick A.
;
Adrian, Tobias
;
Boyarchenko, Nina
; …
- In:
International journal of forecasting
37
(
2021
)
3
,
pp. 1173-1191
Persistent link: https://www.econbiz.de/10012794835
Saved in:
8
Procyclical Leverage and
Value-at-Risk
Adrian, Tobias
-
2013
. Empirically, we find that intermediary leverage is negatively aligned with the banks'
Value-at-Risk
(VaR). Motivated by the …
Persistent link: https://www.econbiz.de/10013083803
Saved in:
9
Procyclical Leverage and
Value-at-Risk
Adrian, Tobias
-
2013
. Empirically, we find that intermediary leverage is negatively aligned with the banks'
Value-at-Risk
(VaR). Motivated by the …
Persistent link: https://www.econbiz.de/10012459718
Saved in:
10
Pitfalls in backtesting historical simulation VaR Models
Escanciano, Juan Carlos
;
Pei, Pei
-
2012
Persistent link: https://www.econbiz.de/10009562976
Saved in:
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