Search Results - subject:"Expected-shortfall"

Estimating Value at Risk and expected shortfall : a Kalman filter approach

Lecq, Max van der; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014567063

A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57

Persistent link: https://www.econbiz.de/10014443184

Interconnectedness and systemic risk : evidence from global stock markets

Cevik, Emrah Ismail; Caliskan Terzioglu, Hande; Kilic, Yunus - In: Research in international business and finance 69 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015052824

Some optimisation problems in insurance with a terminal distribution constraint

Colaneri, Katia; Eisenberg, Julia; Salterini, Benedetta - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 655-678

Persistent link: https://www.econbiz.de/10014383890

Backtesting value-at-risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - In: Journal of financial econometrics 21 (2023) 2, pp. 528-568

Persistent link: https://www.econbiz.de/10014314760

Bounding the Impact of Hazard Interdependence on Climate Risk

Hain, Linda Isabella; Kölbel, Julian; Leippold, Markus - 2023

those hazards. This paper establishes bounds for the impact of interdependence on the Expected Shortfall for a portfolio of … value theory approach of Cirillo and Taleb (2016) to calculate the Expected Shortfall. We find that assuming perfect … dependence instead of independence increases the Expected Shortfall by 3.6% to 66.5% for a portfolio with equally weighted …

Persistent link: https://www.econbiz.de/10014355193

Less disagreement, better forecasts : adjusted risk measures in the energy futures market

Zhang, Ning; Gong, Yujing; Xue, Xiaohan - In: The journal of futures markets 43 (2023) 10, pp. 1332-1372

Persistent link: https://www.econbiz.de/10014339438

A component expected shortfall approach to systemic risk : an application in the South African financial industry

Manguzvane, Mathias Mandla; Sibusiso Blessing Ngobese - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-14

insurers to aggregate the systemic risk of their respective industries by employing the component expected shortfall (CES). The …

Persistent link: https://www.econbiz.de/10014485398

The quantum harmonic oscillator expected shortfall model

Markovic, Vladimir M.; Radivojevic, Nikola; Ivanovic, … - In: Estudios de economía 50 (2023) 2, pp. 233-261

This paper presents a new Expected Shortfall (ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to …

Persistent link: https://www.econbiz.de/10014450737

Stylized facts, volatility dynamics and risk measures of cryptocurrencies

Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of business economics and management 24 (2023) 3, pp. 527-550

. Sensitivity analysis and measures of Value-at-Risk (VaR) and Expected Shortfall (ES) show the amount of losses investors can …

Persistent link: https://www.econbiz.de/10014420375

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