Search Results - subject:"expected shortfall (ES)"

Operational risk assessment of third-party payment platforms : a case study of China

Yao, Yinhong; Li, Jianping - In: Financial innovation : FIN 8 (2022), pp. 1-20

Operational risk events have severely impacted the development of third-party payment (TPP) platforms, and have even led to a discussion on the operational risk capital charge settlement by relevant international regulators. However, prior studies have mostly focused on qualitative mechanism...

Persistent link: https://www.econbiz.de/10013169756

A study of China's financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution

Han, Guanghui; Liu, Panpan; Zhang, Yueqiang; Li, Xiaobo - In: The journal of risk model validation 18 (2024) 1, pp. 83-96

Persistent link: https://www.econbiz.de/10014556673

Applying quantum mechanics for extreme value prediction of VaR and ES in the ASEAN stock exchange

In: Economies 9 (2021) 1, pp. 1-14

financial data has become more desirable, especially in cases of Value at Risk (VaR) and Expected Shortfall (ES) predictions …

Persistent link: https://www.econbiz.de/10013199751

Applying quantum mechanics for extreme value prediction of VaR and ES in the ASEAN stock exchange

Chukiat Chaiboonsri; Satawat Wannapan - In: Economies : open access journal 9 (2021) 1/13, pp. 1-14

financial data has become more desirable, especially in cases of Value at Risk (VaR) and Expected Shortfall (ES) predictions …

Persistent link: https://www.econbiz.de/10012483260

Realized quantity extended conditional autoregressive value-at-risk models

Götz, Pit - In: Journal of risk : JOR 26 (2023) 2, pp. 33-63

Persistent link: https://www.econbiz.de/10014487299

Risk model validation: An intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks 7 (2019) 1, pp. 1-23

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to …' knowledge) in: (1) forecasting the intraday Expected Shortfall (ES) under different distributional assumptions for the MC …

Persistent link: https://www.econbiz.de/10013200428

Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to …’ knowledge) in: (1) forecasting the intraday Expected Shortfall (ES) under different distributional assumptions for the MC …

Persistent link: https://www.econbiz.de/10012018629

Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall

Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - In: Journal of risk 25 (2022) 2, pp. 75-105

Persistent link: https://www.econbiz.de/10014342468

Expected shortfall model based on a neural network

Doncic, Sanja; Pantic, Nemanja; Lakićević, Marija - In: The journal of risk model validation 16 (2022) 2, pp. 63-83

Persistent link: https://www.econbiz.de/10014540573

Measuring the risk of Chinese Fintech industry : evidence from the stock index

Yao, Yinhong; Li, Jianping; Sun, Xiaolei - In: Finance research letters 39 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012805037