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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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Bedingte Schätzung von Value at Risk und Expected Shortfall
Schaudeck, Alexander - 2014
Der Value at Risk ist die am stärksten verbreitete Kennzahl zur Bestimmung des Risikos bei Finanzinstituten. Für diese gibt es bezüglich Theorie, Simulation und empirischer Anwendung bereits ein breites Spektrum an Literatur. Im Rahmen dieser Arbeit werden verschiedene Methoden zur Schätzung...
Persistent link: https://www.econbiz.de/10010532752
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Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market
Sobreira, Nuno; Louro, Rui - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430745
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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
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Value at risk, minimum capital requirement and the use of extreme value distributions : an application to BRICS markets
Muteba Mwamba, John; Beytell, Donovan - In: International business and economics research journal 14 (2015) 1, pp. 135-143
Persistent link: https://www.econbiz.de/10010529372
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Value at risk estimation for heavy tailed distributions
Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125
Persistent link: https://www.econbiz.de/10010241908
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VaR performance during the subprime and sovereign debt crises : an application to emerging markets
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: Emerging markets review 20 (2014), pp. 23-41
Persistent link: https://www.econbiz.de/10010419480
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Tail risk in emerging markets of Southeastern Europe
Totić, Selena; Božović, Miloš - In: Applied economics 48 (2016) 19/21, pp. 1785-1798
Persistent link: https://www.econbiz.de/10011589813
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Frontiers in VaR forecasting and backtesting
Nieto, Maria Rosa; Ruiz, Esther - In: International journal of forecasting 32 (2016) 2, pp. 474-501
Persistent link: https://www.econbiz.de/10011597163
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Time-series momentum : a Monte-Carlo approach
Cheng, Enoch; Struck, Clemens - 2019
This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … conventional backtesting procedures. We create 10,000 paths of different TSM strategies based on the S&P 500 and a cross …
Persistent link: https://www.econbiz.de/10011990919