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Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012489163
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Ambiguity aversion and stock market participation : an empirical analysis
Antoniou, Constantinos; Harris, Richard D. F.; Zhang, Ruogu - In: Journal of banking & finance 58 (2015), pp. 57-70
Persistent link: https://www.econbiz.de/10011543887
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Decision making with Expected Shortfall and spectral risk measures : the problem of comparative risk aversion
Brandtner, Mario; Kürsten, Wolfgang - In: Journal of banking & finance 58 (2015), pp. 268-280
Persistent link: https://www.econbiz.de/10011544006
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Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian; Chabot, Ben; Ghysels, Eric; Kurz, … - In: Journal of banking & finance 113 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
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An evaluation of bank measures for market risk before, during and after the financial crisis
O'Brien, James M.; Szerszeń, Paweł J. - In: Journal of banking & finance 80 (2017), pp. 215-234
Persistent link: https://www.econbiz.de/10011816277
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Ambiguity in securitization markets
Anderson, Alyssa Gray - In: Journal of banking & finance 102 (2019), pp. 231-255
Persistent link: https://www.econbiz.de/10012162720
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A new approach to measuring riskiness in the equity market : implications for the risk premium
Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - In: Journal of banking & finance 57 (2015), pp. 101-117
Persistent link: https://www.econbiz.de/10011543805
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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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The structure and degree of dependence : a quantile regression approach
Baur, Dirk G. - In: Journal of banking & finance 37 (2013) 3, pp. 786-798
Persistent link: https://www.econbiz.de/10009708741
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Systemic risk contributions : a credit portfolio approach
Puzanova, Natalia; Düllmann, Klaus - In: Journal of banking & finance 37 (2013) 4, pp. 1243-1257
Persistent link: https://www.econbiz.de/10009719795