Similar Search Results

Moments expansion densities for quantifying financial risk

Ñíguez, Trino-Manuel; Perote, Javier - In: The North American journal of economics and finance : a … 42 (2017), pp. 53-69

Persistent link: https://www.econbiz.de/10011938073

Reduction of Value-at-Risk bounds via independence and variance information

Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; … - In: Scandinavian actuarial journal (2017) 3, pp. 245-266

Persistent link: https://www.econbiz.de/10011772119

The impact of correlation on (Range) Value-at-Risk

Bernard, Carole; De Vecchi, Corrado; Vanduffel, Steven - In: Scandinavian actuarial journal 2023 (2023) 6, pp. 531-564

Persistent link: https://www.econbiz.de/10014383858

Backtesting VaR under the COVID-19 sudden changes in volatility

Castillo, Brenda; León, Ángel; Ñíguez, Trino-Manuel - In: Finance research letters 43 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10014633484

Volatility and VAR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria

Ñíguez, Trino-Manuel (contributor) - 2003 - 1. ed. [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002115963

The snp-dcc model: a new methodology for risk management and forecasting

Brio, Esther B. del; Ñíguez, Trino-Manuel; Perote, Javier - 2010

Persistent link: https://www.econbiz.de/10010422539

Optimal capital allocation principles

Dhaene, Jan; Tsanakas, Andreas; Valdez, Emiliano; … - In: The journal of risk and insurance : the journal of the … 79 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10009517734

Volatility and VaR forecasting in the Madrid stock exchange

Ñíguez, Trino-Manuel - In: Spanish economic review : SER 10 (2008) 3, pp. 169-196

Persistent link: https://www.econbiz.de/10003747257

Capital Allocation for Portfolios with Non-Linear Risk Aggregation

Boonen, Tim J. - 2016

Existing risk capital allocation methods, such as the Euler rule, work under the explicit assumption that portfolios are formed as linear combinations of random loss/profit variables, with the firm being able to choose the portfolio weights. This assumption is unrealistic in an insurance...

Persistent link: https://www.econbiz.de/10012991863

Static and dynamic risk capital allocations with the Euler rule

Boonen, Tim J. - In: Journal of risk 22 (2019) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10013177092