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Aggregating credit and market risk : the impact of model specification

Lucas, André; Verhoef, Bastiaan - 2012

Persistent link: https://www.econbiz.de/10010191011

The mean-variance model with capital controls and expectations formation : a test on German portfolio data

Jansen, Willem Jos - 1995

Persistent link: https://www.econbiz.de/10000915603

A real options perspective on R&D portfolio diversification

Bekkum, Sjoerd van; Pennings, Enrico; Smit, Han T. J. - 2008

. Real option theory argues that research projects with conditional phases have option-like risk and return properties, and …

Persistent link: https://www.econbiz.de/10011373815

Backtesting Value-at-Risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - 2019

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk (VaR) and ES. We provide explicit expressions...

Persistent link: https://www.econbiz.de/10012057163

Forecasting day-ahead electricity prices : utilizing hourly prices

Raviv, Eran; Bouwman, Kees E.; Dijk, Dick van - 2013

Persistent link: https://www.econbiz.de/10009765836

Has the Basel II accord encouraged risk management during the 2008 - 09 financial crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

Persistent link: https://www.econbiz.de/10011378354

Value at risk as a diagnostic tool for corporates : the airline industry

Hallerbach, Winfried G.; Menkveld, Albert J. - 1999

In recent years the Value at Risk (VaR) concept for measuringdownside risk has been widelystudied. VaR basically is a summary statistic that quantifies theexposure of an asset or portfolio tomarket risk, or the risk that a position declines in value withadverse market price changes. Threeparties...

Persistent link: https://www.econbiz.de/10011301166

Ecological-economic analysis of wetlands

Turner, Robert Kerry; Bergh, Jeroen C. J. M. van den; … - 1998

-criteria evaluation can provide complementary insights into sustainable and welfare-optimising wetland management and policy. Subsequently …

Persistent link: https://www.econbiz.de/10011284097

Spatial economic-hydroecological modelling and evaluation of land use impacts in the Vecht wetlands area

Bergh, Jeroen C. J. M. van den; Barendregt, A.; … - 2000

. Spatially integrated modelling and evaluation can support this. The present study has developed a triple layer model that … integrates information and concepts from social and natural sciences to address the analysis and evaluation of land-use scenarios … quality. The spatial characteristics of these indicators are retained in a spatial evaluation that ranks scenarios. …

Persistent link: https://www.econbiz.de/10011302605

The value of statistical life in road safety : a meta-analysis

Blaeij, Adriana Tanneke de; Florax, Raymond J. G. M.; … - 2000

fatal accidents. The evaluation of fatal accident costs crucially depends on theavailability of an estimate for the economic …

Persistent link: https://www.econbiz.de/10011304399

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