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Modeling redemption risks of mutual funds using extreme value theory
Desmettre, Sascha; Deege, Matthias - In: Journal of risk 18 (2016) 6, pp. 1-37
Persistent link: https://www.econbiz.de/10011620647
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The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf; Rösch, Daniel; Scheule, Harald - In: Journal of risk 18 (2016) 6, pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
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A conditional approach for risk estimation
Mendes, Beatriz Vaz de Melo - In: Journal of risk 11 (2008/09) 1, pp. 33-55
Persistent link: https://www.econbiz.de/10003775645
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Fitting the generalized Pareto distribution to commercial fire loss severity : evidence from Taiwan
Lee, Wo-chiang - In: Journal of risk 14 (2011/12) 3, pp. 63-80
Persistent link: https://www.econbiz.de/10009531007
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Modeling extreme returns and asymmetric dependence structures of hedge fund strategies using extreme value theory and copula theory
Viebig, Jan; Poddig, Thorsten - In: Journal of risk 13 (2010/11) 2, pp. 23-55
Persistent link: https://www.econbiz.de/10008807871
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Body and tail : an automated tail-detecting procedure
Hoffmann, Ingo; Börner, Christoph J. - In: Journal of risk 23 (2020/2021) 2, pp. 43-69
Persistent link: https://www.econbiz.de/10012500249
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Modeling maxima with a regime-switching Fréchet model
Tan, Keqi; Chen, Yu; Chen, Pengzhan - In: Journal of risk 25 (2022) 2, pp. 27-45
Persistent link: https://www.econbiz.de/10014342458
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Extreme value theory, asset ranking and threshold choice : a practical note on VaR estimation
Auer, Benjamin R. - In: Journal of risk 18 (2015/2016) 1, pp. 27-44
Persistent link: https://www.econbiz.de/10013262944
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An examination of the tail contribution to distortion risk measures
Santolino, Miguel; Belles-Sampera, James; Sarabia … - In: Journal of risk 23 (2021) 6, pp. 95-119
Persistent link: https://www.econbiz.de/10013473149