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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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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
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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
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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
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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
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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
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Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type Value-at-Risk model performance in Thailand's transport...
Danai Likitratcharoen; Lucksuda Suwannamalik - In: Risks : open access journal 12 (2024) 3, pp. 1-19
of VaR approaches. This study critically evaluates the efficacy of GARCH-type VaR models within the transportation sector … GARCH-type VaR models include GARCH (1,1) VaR, ARMA (1,1)-GARCH (1,1) VaR, GARCH (1,1)-M VaR, IGARCH (1,1) VaR, EWMA VaR … surpasses GARCH-type VaR models in failure rate accuracy. Within the GARCH-type category, the EWMA VaR model exhibited superior …
Persistent link: https://www.econbiz.de/10014497424
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The impact of systemic risk on the diversification benefits of a risk portfolio
Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...
Persistent link: https://www.econbiz.de/10010399713
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Sharp probability tail estimates for portfolio credit risk
Collamore, Jeffrey F.; Silva, Hasitha de; Vidyashankar, … - In: Risks : open access journal 10 (2022) 12, pp. 1-20
Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors. The default for an individual loan occurs when the assets of a company (or individual) fall...
Persistent link: https://www.econbiz.de/10014230963
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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