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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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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
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Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong - In: The journal of risk model validation 10 (2016) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
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Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries
Radivojevic, Nikola; Curcic, Nikola; Milojkovic, Dragana; … - In: The journal of risk model validation 10 (2016) 2, pp. 57-81
Persistent link: https://www.econbiz.de/10011527481
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Modeling value-at-risk for international portfolios in different jump-diffusion processes
Chen, Fen-ying - In: The journal of risk model validation 7 (2013) 2, pp. 93-117
Persistent link: https://www.econbiz.de/10009780648
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The utility of Basel III rules on excessive violations of internal risk models
Tarrant, Wayne - In: The journal of risk model validation 13 (2019) 1, pp. 25-37
Persistent link: https://www.econbiz.de/10012020267
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Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model
Gammoudi, Imed; El Ghourabi, Mohamed; Belkacem, Lotfi - In: The journal of risk model validation 10 (2016) 3, pp. 49-68
Persistent link: https://www.econbiz.de/10011587684
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Risk reduction in a time series momentum trading strategy
Hong, KiHoon; Park, KiBong; Lee, Yong Woong - In: The journal of risk model validation 10 (2016) 4, pp. 55-70
Persistent link: https://www.econbiz.de/10011587716
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A quick tool to forecast value-at-risk using implied and realized volatilities
Cesarone, Francesco; Colucci, Stefano - In: The journal of risk model validation 10 (2016) 4, pp. 71-101
Persistent link: https://www.econbiz.de/10011587719
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Backtesting general spectral risk measures with application to expected shortfall
Costanzino, Nick; Curran, Mike - In: The journal of risk model validation 9 (2015) 1, pp. 21-31
Persistent link: https://www.econbiz.de/10010516722