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Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
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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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Finite difference methods for estimating marginal risk contributions in asset management
Olschewsky, Michael; Lüdemann, Stefan; Poddig, Thorsten - In: Journal of risk 18 (2016) 5, pp. 63-99
Persistent link: https://www.econbiz.de/10011598391
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Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
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On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
Marumo, Kohei; Wolff, Rodney C. - In: Journal of risk 18 (2015/2016) 3, pp. 47-76
Persistent link: https://www.econbiz.de/10011439101
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Bias-corrected estimators for the Vasicek model : an application in risk measure estimation
Guo, Zi-Yi - In: Journal of risk 23 (2020/2021) 2, pp. 71-104
Persistent link: https://www.econbiz.de/10012500264
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Empirical likelihood for value-at-risk and expected shortfall
Baysal, Rafet Evren; Staum, Jeremy - In: Journal of risk 11 (2008/09) 1, pp. 3-32
Persistent link: https://www.econbiz.de/10003775644
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Kernel quantile-based estimation of expected shortfall
Yu, Keming; Ally, Abdallah K.; Yang, Shanchao; Hand, D. J. - In: Journal of risk 12 (2009/10) 4, pp. 15-32
Persistent link: https://www.econbiz.de/10003995401
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The alpha alignment factor : a solution to the underestimation of risk for optimized active portfolios
Saxena, Anureet; Stubbs, Robert A. - In: Journal of risk 15 (2012/13) 3, pp. 3-37
Persistent link: https://www.econbiz.de/10009732845
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Using Tukey's g and h family of distributions to calculate value-at-risk and conditional value-at-risk
Jiménez, José Alfredo; Arunachalam, Viswanathan - In: Journal of risk 13 (2010/11) 4, pp. 95-116
Persistent link: https://www.econbiz.de/10009233504