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A semiparametric approach to value-at-risk, expected shortfall and optimum asset allocation in stock-bond portfolios
Chen, Xiangjin B.; Silvapulle, Paramsothy; Silvapulle, … - In: Economic modelling 42 (2014), pp. 230-242
Persistent link: https://www.econbiz.de/10010478162
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Dependence of defaults and recoveries in structural credit risk models
Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10009702275
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Toward model value-at-risk : bespoke CDO tranches, a case study
Cohort, Pierre; Levy dit Vehel, Pierre Emmanuel; … - In: The journal of risk model validation 7 (2013) 3, pp. 21-34
Persistent link: https://www.econbiz.de/10010480651
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Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
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Bayesian backtesting for counterparty risk models
Zelvyte, Mante; Arnsdorf, Matthias - In: The journal of risk model validation 17 (2023) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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Testing the Gaussian and Student's t copulas in a risk management framework
Lourme, Alexandre; Maurer, Frantz - In: Economic modelling 67 (2017), pp. 203-214
Persistent link: https://www.econbiz.de/10011813813
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Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174
Persistent link: https://www.econbiz.de/10010425701
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The role of the loss function in value-at-risk comparisons
Abad, Pilar; Benito Muela, Sonia; López Martin, Carmen - In: The journal of risk model validation 9 (2015) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305