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Incremental value-at-risk
Mitic, Peter; Cooper, James; Bloxham, Nicholas - In: The journal of risk model validation 14 (2020) 1, pp. 65-101
Persistent link: https://www.econbiz.de/10014335925
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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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International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses
Yang, Bill Huajian; Wu, Biao; Cui, Kaijie; Du, Zunwei; … - In: The journal of risk model validation 14 (2020) 1, pp. 19-34
Persistent link: https://www.econbiz.de/10014335910
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A central limit theorem formulation for empirical bootstrap value-at-risk
Mitic, Peter; Bloxham, Nicholas - In: The journal of risk model validation 12 (2018) 1, pp. 49-83
Persistent link: https://www.econbiz.de/10011869732
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Comprehensive capital analysis and review stress tests : is regression the only tool for loss projection?
Siarka, Pawel; Chan, Lina - In: The journal of risk model validation 9 (2015) 3, pp. 71-99
Persistent link: https://www.econbiz.de/10011410324
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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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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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Backtesting value-at-risk tail losses on a dynamic portfolio
Graham, Alasdair; Pál, János - In: The journal of risk model validation 8 (2014) 2, pp. 59-96
Persistent link: https://www.econbiz.de/10010394657
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Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement : an empirical investigation during a financial crisis
Bee, Marco - In: The journal of risk model validation 6 (2012) 2, pp. 3-45
Persistent link: https://www.econbiz.de/10009572304
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The role of the loss function in value-at-risk comparisons
Abad, Pilar; Benito Muela, Sonia; López Martin, Carmen - In: The journal of risk model validation 9 (2015) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010516723