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Forecasting corporate defaults in the German stock market

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Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision

Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27

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Factor-risk-constrained mean-variance portfolio selection : formulation and global optimization solution approach

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Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures

Benavides, Guillermo - 2020

In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...

Persistent link: https://www.econbiz.de/10012292347

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Estimation risk for value-at-risk and expected shortfall

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