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Intraday VaR : a copula-based approach
Wang, Keli; Liu, Xiaoquan; Ye, Wuyi - In: Journal of empirical finance 74 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
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Toward model value-at-risk : bespoke CDO tranches, a case study
Cohort, Pierre; Levy dit Vehel, Pierre Emmanuel; … - In: The journal of risk model validation 7 (2013) 3, pp. 21-34
Persistent link: https://www.econbiz.de/10010480651
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Bayesian backtesting for counterparty risk models
Zelvyte, Mante; Arnsdorf, Matthias - In: The journal of risk model validation 17 (2023) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
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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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High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung; Changchien, Chang-Cheng; Kao, Tzu-Chuan; … - In: Journal of empirical finance 29 (2014), pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
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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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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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Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa; Rigotard, Michael - In: The journal of risk model validation 10 (2016) 1, pp. 47-57
Persistent link: https://www.econbiz.de/10011485151