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Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
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Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.; McNeil, Alexander J. - In: Journal of banking & finance 116 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
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Extreme risk modeling : an EVT-pair-copulas approach for financial stress tests
Koliai, Lyes - In: Journal of banking & finance 70 (2016), pp. 1-22
Persistent link: https://www.econbiz.de/10011635106
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - In: Journal of banking & finance 37 (2013) 3, pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
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Forecasting distress in European SME portfolios
Filipe, Sara Ferreira; Grammatikos, Theoharry; Michala, … - In: Journal of banking & finance 64 (2016), pp. 112-135
Persistent link: https://www.econbiz.de/10011634271
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A new set of improved Value-at-Risk backtests
Ziggel, Daniel; Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of banking & finance 48 (2014), pp. 29-41
Persistent link: https://www.econbiz.de/10010506942
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A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
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Managing risk in multi-asset class, multimarket central counterparties : the CORE approach
Vicente, Luis A. B. G.; Cerezetti, F. V.; De Faria, S. R.; … - In: Journal of banking & finance 51 (2015), pp. 119-130
Persistent link: https://www.econbiz.de/10011377281
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Long-term bank balance sheet management : estimation and simulation of risk-factors
Birge, John R.; Júdice, Pedro - In: Journal of banking & finance 37 (2013) 12, pp. 4711-4720
Persistent link: https://www.econbiz.de/10010341607
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Trading book and credit risk : how fundamental is the Basel review?
Laurent, Jean-Paul; Sestier, Michael; Thomas, Stéphane - In: Journal of banking & finance 73 (2016), pp. 211-223
Persistent link: https://www.econbiz.de/10011635717