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From BASEL III to BASEL IV and beyond : expected shortfall and expectile risk measures
Zaevski, Tsvetelin S.; Nedeltchev, Dragomir C. - In: International review of financial analysis 87 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014460567
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Ratings-based credit risk modelling : an empirical analysis
Nickell, Pamela; Perraudin, William R. M.; Varotto, Simone - In: International review of financial analysis 16 (2007) 5, pp. 434-451
Persistent link: https://www.econbiz.de/10003612970
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Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula
Lee, Yong Woong; Yang, Kisung - In: International review of financial analysis 66 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012208950
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Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48
Persistent link: https://www.econbiz.de/10010520085
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Tail risk measurement in crypto-asset markets
Ahelegbey, Daniel Felix; Giudici, Paolo; Mojtahedi, Fatemeh - In: International review of financial analysis 73 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012803601
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Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data
Degiannakis, Stavros; Potamia, Artemis - In: International review of financial analysis 49 (2017), pp. 176-190
Persistent link: https://www.econbiz.de/10011741290
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Risk quantification for commodity ETFs: backtesting value-at-risk and expected shortfall
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: International review of financial analysis 70 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012318296
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Do green investments improve portfolio diversification? : evidence from mean conditional value-at-risk optimization
Ben Ameur, Hachmi; Ftiti, Zied; Louhichi, Waël; … - In: International review of financial analysis 94 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10014543934
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Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng; Xu, Yixiong; Fan, Caiyun - In: International review of financial analysis 90 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
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Identifying systemic risk of assets during international financial crises using Value at Risk elasticities
Borer, Daniel; Perera, Devmali; Fitriya Fauzi; Chau … - In: International review of financial analysis 90 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014469916