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Identifying mixture copula components using outlier detection methods and goodness-of-fit tests
Weiß, Gregor - In: Journal of risk 16 (2013/2014) 4, pp. 61-101
Persistent link: https://www.econbiz.de/10013262930
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Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed; Lauria, Davide; Trindade, A. Alexandre - In: Journal of risk 25 (2022) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
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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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Procyclicality control in risk-based margin models
Wong, Lauren W.; Zhang, Yang - In: Journal of risk 23 (2021) 5, pp. 79-102
Persistent link: https://www.econbiz.de/10012630871
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Procyclicality mitigation for initial margin models with asymmetric volatility
Goldman, Elena; Shen, Xiangjin - In: Journal of risk 22 (2019/2020) 5, pp. 1-41
Persistent link: https://www.econbiz.de/10012421684
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Fund size and the stability of portfolio risk
Ewen, Martin; Rieger, Marc Oliver - In: Journal of risk 22 (2019/2020) 6, pp. 65-87
Persistent link: https://www.econbiz.de/10012421711
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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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Assessing systemic fragility : a probabilistic perspective
Radev, Deyan - In: Journal of risk 25 (2022) 2, pp. 47-74
Persistent link: https://www.econbiz.de/10014342462
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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