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Nonparametric forward-looking value-at-risk
Nossman, Marcus; Vilhelmsson, Anders - In: Journal of risk 16 (2013/2014) 4, pp. 103-123
Persistent link: https://www.econbiz.de/10013262928
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Optimization of systemic risk : reallocation of assets based on bank networks
Wang, Hu; Li, Shouwei - In: Journal of risk 23 (2020/2021) 3, pp. 31-56
Persistent link: https://www.econbiz.de/10012500294
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Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
Liu, Xiaohang; Li, Handong - In: Journal of risk 24 (2021) 1, pp. 53-77
Persistent link: https://www.econbiz.de/10012816812
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The CoCVaR approach : systemic risk contribution measurement
Huang, Wei-Qiang; Uryasev, Stan - In: Journal of risk 20 (2017/2018) 4, pp. 75-93
Persistent link: https://www.econbiz.de/10011848936
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Modeling realized volatility with implied volatility for the EUR/GBP exchange rate
Rokicka, Anna; Kudła, Janusz - In: Journal of risk 23 (2021) 4, pp. 51-79
Persistent link: https://www.econbiz.de/10012593441
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The signalling properties of the shape of the credit default swap term structure
Castellanos, Jenny; Constantinou, Nick; Wing Lon Ng - In: Journal of risk 17 (2014/2015) 4, pp. 71-99
Persistent link: https://www.econbiz.de/10013262935
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Future portfolio returns and the VIX term structure
Aharon, David Yechiam; Dimpfl, Thomas - In: Journal of risk 24 (2022) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10014546348
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Measuring the systemic risk of China's banking sector : an application of differential DebtRank
Yin, Wenjie; Jin, Faqi; Tian, Meiyu; Wen, Fenghua - In: Journal of risk 22 (2019) 1, pp. 43-66
Persistent link: https://www.econbiz.de/10013177100
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Time-varying tail dependence networks of financial institutions
Wen, Fenghua; Weng, Kaiyan; Cao, Jie - In: Journal of risk 23 (2021) 6, pp. 67-94
Persistent link: https://www.econbiz.de/10013473144
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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