Narrow search
Showing 1 - 10 of 109
Cover Image
Measurement of operational risk regulatory capital in the banking sector : developed countries versus emerging markets
Hassanein, Medhat; Bouaddi, Mohammed; Karim, Talha - In: The journal of operational risk 16 (2021) 1, pp. 12-43
Persistent link: https://www.econbiz.de/10013168027
Cover Image
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - In: Journal of econometrics 217 (2020) 2, pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Cover Image
PELVE : probability equivalent level of VaR and ES
Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
Cover Image
Bayesian operational risk models
Figini, Silvia; Gao, Lijun; Giudici, Paolo - In: The journal of operational risk 10 (2015) 2, pp. 45-60
Persistent link: https://www.econbiz.de/10011298859
Cover Image
Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables
Hannah, Lincoln; Puza, Borek - In: The journal of operational risk 10 (2015) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10011298869
Cover Image
Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Cover Image
A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - In: Journal of econometrics 187 (2015) 2, pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
Cover Image
Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco; Hambuckers, Julien - In: The journal of operational risk 17 (2022) 1, pp. 81-111
Persistent link: https://www.econbiz.de/10014546257
Cover Image
A residual bootstrap for conditional Value-at-Risk
Beutner, Eric; Heinemann, Alexander; Smeekes, Stephan - In: Journal of econometrics 238 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015073889
Cover Image
Nonparametric estimation of conditional VaR and expected shortfall
Cai, Zongwu; Wang, Xian - In: Journal of econometrics 147 (2008) 1, pp. 120-130
Persistent link: https://www.econbiz.de/10003783792