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~isPartOf:"Journal of risk management in financial institutions"
~isPartOf:"The journal of risk model validation"
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1
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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2
Hedging strategies in energy markets : the case of electricity retailers
Boroumand, Raphaël Homayoun
;
Goutte, Stéphane
; …
- In:
Energy economics
51
(
2015
),
pp. 503-509
Persistent link: https://www.econbiz.de/10011564922
Saved in:
3
The Minimum-
CVaR
strategy with semi-parametric estimation in carbon market hedging problems
Chai, Shanglei
;
Zhou, Peng
- In:
Energy economics
76
(
2018
),
pp. 64-75
Persistent link: https://www.econbiz.de/10011976584
Saved in:
4
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
Saved in:
5
Selection of value at risk models for energy commodities
Laporta, Alessandro G.
;
Merlo, Luca
;
Petrella, Lea
- In:
Energy economics
74
(
2018
),
pp. 628-643
Persistent link: https://www.econbiz.de/10011972948
Saved in:
6
Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi
;
Li, Jian
- In:
Energy economics
76
(
2018
),
pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
Saved in:
7
Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao
;
Liu, Kun
;
Duan, Xin-Lei
;
Li, Ming-Fang
- In:
Energy economics
81
(
2019
),
pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
Saved in:
8
Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
Saved in:
9
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
Saved in:
10
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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