Narrow search
Showing 1 - 10 of 532
Cover Image
Estimating Value-at-Risk and expected shortfall of metal commodities : application of GARCH-EVT method
Khan, Maaz; Khan, Mrestyal; Irfan, Muhammad - In: Journal of risk management in financial institutions 16 (2022/2023) 2, pp. 189-199
Persistent link: https://www.econbiz.de/10014286674
Cover Image
Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha - In: Journal of risk management in financial institutions 12 (2019) 3, pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
Cover Image
The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf; Rösch, Daniel; Scheule, Harald - In: Journal of risk 18 (2016) 6, pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
Cover Image
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
Cover Image
Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
Cover Image
Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z. - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
Cover Image
Counterparty risk allocation
Baule, Rainer - In: Journal of risk 25 (2022) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
Cover Image
Applying the Cornish-Fisher expansion to value-at-risk estimation in Islamic banking
Izhar, Hylmun - In: Journal of risk 17 (2014/2015) 6, pp. 51-72
Persistent link: https://www.econbiz.de/10011438927
Cover Image
Market risk calculation for private equity fund-of-funds
Henzler, Jörg; George, Constantine - In: Journal of risk management in financial institutions 11 (2017/2018) 4, pp. 328-360
Persistent link: https://www.econbiz.de/10011980279
Cover Image
Decomposition of portfolio risk into independent factors using an inductive causal search algorithm
Deaton, Brian D. - In: Journal of risk 19 (2016) 1, pp. 43-61
Persistent link: https://www.econbiz.de/10011579769