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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
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Tail risk in energy portfolios
González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434
Persistent link: https://www.econbiz.de/10011298962
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Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - In: Energy economics 42 (2014), pp. 332-342
Persistent link: https://www.econbiz.de/10010503584
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Oil stocks, risk factors, and tail behavior
Lian, Ziying; Cai, Jun; Webb, Robert I. - In: Energy economics 91 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012518738
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Quantifying model risk within a CreditRisk+ framework
Fischer, Matthias; Mertel, Alexander - In: The journal of risk model validation 6 (2012) 1, pp. 47-76
Persistent link: https://www.econbiz.de/10009539312
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Quantification of the estimation risk inherent in loss distribution approach models
Panman, Kevin; Biljon, L. van; Haasbroek, L. J.; … - In: The journal of risk model validation 13 (2019) 4, pp. 17-41
Persistent link: https://www.econbiz.de/10012373158
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The use of the triangular approximation for some complicated risk measurement calculations
Georgiopoulos, Nick - In: The journal of risk model validation 11 (2017) 3, pp. 69-98
Persistent link: https://www.econbiz.de/10011762994
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Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice
Wehn, Carsten - In: The journal of risk model validation 12 (2018) 4, pp. 17-39
Persistent link: https://www.econbiz.de/10011992015
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A central limit theorem formulation for empirical bootstrap value-at-risk
Mitic, Peter; Bloxham, Nicholas - In: The journal of risk model validation 12 (2018) 1, pp. 49-83
Persistent link: https://www.econbiz.de/10011869732
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Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives
Syuhada, Khreshna; Hakim, Arief; Suprijanto, Djoko - In: Energy economics 129 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014558988