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Modeling loss given default regressions
Li, Phillip; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of risk 23 (2020/2021) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
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Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar; Benito Muela, Sonia; López-Martín, Carmen; … - In: Journal of risk 18 (2016) 5, pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
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How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
Riccetti, Luca - In: Journal of risk 19 (2016/2017) 4, pp. 79-102
Persistent link: https://www.econbiz.de/10011710254
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Portfolio risk forecasting
Braun, Valentin; Hackethal, Andreas - In: Journal of risk 16 (2013/2014) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10013262566
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Hedging: scaling and the investor horizon
Cotter, John; Hanly, Jim - In: Journal of risk 12 (2009/10) 2, pp. 49-77
Persistent link: https://www.econbiz.de/10003924076
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Backtesting expected shortfall : a simple recipe?
Moldenhauer, Felix; Pitera, Marcin - In: Journal of risk 22 (2019) 1, pp. 17-42
Persistent link: https://www.econbiz.de/10013177098
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New backtests for unconditional coverage of expected shortfall
Löser, Robert; Wied, Dominik; Ziggel, Daniel - In: Journal of risk 21 (2018/2019) 4, pp. 39-59
Persistent link: https://www.econbiz.de/10012059868
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Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias; Weiß, Gregory N. F.; Ziggel, Daniel - In: Journal of risk 20 (2017/2018) 5, pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
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Comparing multivariate volatility forecasts by direct and indirect approaches
Amendola, Alessandra; Candila, Vincenzo - In: Journal of risk 19 (2017) 6, pp. 33-57
Persistent link: https://www.econbiz.de/10011799128
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Inefficiency and bias of modified value-at-risk and expected shortfall
Martin, R. Douglas; Arora, Rohit - In: Journal of risk 19 (2017) 6, pp. 59-84
Persistent link: https://www.econbiz.de/10011799157