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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
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An application of sensitivity analysis to hedge funds
Gregoriou, Greg N.; Pascalau, Razvan - In: The journal of risk model validation 10 (2016) 1, pp. 21-45
Persistent link: https://www.econbiz.de/10011485150
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Exchange rate risk management for contractors within a hybrid payment scheme : a case study in Punta del Este, Uruguay
Egozcue, Martín - In: The journal of risk model validation 17 (2023) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10014485778
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Portofolio crash testing : making sense of extreme event exposures
Novosyolov, Arcady; Satchkov, Daniel - In: The journal of risk model validation 4 (2010/11) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10008699880
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Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement : an empirical investigation during a financial crisis
Bee, Marco - In: The journal of risk model validation 6 (2012) 2, pp. 3-45
Persistent link: https://www.econbiz.de/10009572304
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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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Backtesting solvency II value-at-risk models using a rolling horizon
Loois, Miriam - In: The journal of risk model validation 9 (2015) 2, pp. 13-31
Persistent link: https://www.econbiz.de/10011326311
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Energy risk management through self-exciting marked point process
Herrera, Rodrigo - In: Energy economics 38 (2013), pp. 64-76
Persistent link: https://www.econbiz.de/10009763643
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Downside risk and the energy hedger's horizon
Conlon, Thomas; Cotter, John - In: Energy economics 36 (2013), pp. 371-379
Persistent link: https://www.econbiz.de/10009724683