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Multivariate heavy-tailed models for value-at-risk estimation

Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10009624462

Beyond dimension two : a test for higher-order tail risk

Bormann, Carsten; Schaumburg, Julia; Schienle, Melanie - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 552-580

Persistent link: https://www.econbiz.de/10011623690

Tempered stable models for Islamic finance asset management

Bekri, Mahmoud; Kim, Young Shin; Račev, Svetlozar T. - In: International journal of Islamic and Middle Eastern … 7 (2014) 1, pp. 37-60

Persistent link: https://www.econbiz.de/10011335135

Stochastic models for risk estimation in volatile markets : a survey

Stoyanov, Stoyan V.; Racheva-Iotova, Borjana; Račev, … - 2010

Persistent link: https://www.econbiz.de/10003964894

CVaR sensitivty with respect to tail thickness

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of banking & finance 37 (2013) 3, pp. 977-988

Persistent link: https://www.econbiz.de/10009708724

Risk management and dynamic portfolio selection with stable paretian distributions

Ortobelli, Sergio; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 17 (2010) 2, pp. 195-211

Persistent link: https://www.econbiz.de/10009271854

Fat-tailed models for risk estimation

Stoyanov, Stoyan V.; Račev, Svetlozar T.; … - In: The journal of portfolio management : a publication of … 37 (2010/11) 2, pp. 107-117

Persistent link: https://www.econbiz.de/10009273905

Detecting structural differences in tail dependence of financial time series

Bormann, Carsten; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 380-392

Persistent link: https://www.econbiz.de/10012262482

Systemic risk modeling with Lévy copulas

Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-20

We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system conditional on an institution being under distress. For characterizing and estimating CoVaR, we use the copula approach and introduce the normal tempered stable (NTS) copula based...

Persistent link: https://www.econbiz.de/10012588056