Similar Search Results

Tail models and the statistical limit of accuracy in risk assessment

Hoffmann, Ingo; Börner, Christoph J. - In: The Journal of Risk Finance 21 (2020) 3, pp. 201-216

Purpose: This paper aims to evaluate the accuracy of a quantile estimate. Especially when estimating high quantiles from a few data, the quantile estimator itself is a random number with its own distribution. This distribution is first determined and then it is shown how the accuracy of the...

Persistent link: https://www.econbiz.de/10012278973

Body and tail : an automated tail-detecting procedure

Hoffmann, Ingo; Börner, Christoph J. - In: Journal of risk 23 (2020/2021) 2, pp. 43-69

Persistent link: https://www.econbiz.de/10012500249

On capital allocation under information constraints

Börner, Christoph J.; Hoffmann, Ingo; Poetter, Fabian; … - In: Journal of risk : JOR 25 (2023) 5, pp. 1-18

Persistent link: https://www.econbiz.de/10014487130

Extremes of extremes : risk assessment for very small samples with an exemplary application for cryptocurrency returns

Börner, Christoph J.; Hoffmann, Ingo; Krettek, Jonas; … - In: Journal of risk : JOR 26 (2023) 1, pp. 77-97

Persistent link: https://www.econbiz.de/10014487287

On capital allocation under information constraints

Börner, Christoph J.; Hoffmann, Ingo; Poetter, Fabian; … - In: Journal of risk 25 (2023) 5, pp. 51-69

Persistent link: https://www.econbiz.de/10014370723