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Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation

Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8

Persistent link: https://www.econbiz.de/10011439601

Multivariate approximations to portfolio return distribution

Mora-Valencia, Andrés; Ñíguez, Trino-Manuel; Perote, … - In: Computational and mathematical organization theory 23 (2017) 3, pp. 347-361

Persistent link: https://www.econbiz.de/10011741979

A comparison study of copula models for European financial index returns

Tofoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: International journal of economics and finance 9 (2017) 10, pp. 155-178

Persistent link: https://www.econbiz.de/10011764112

Downside risk, portfolio diversification and the financial crisis in the euro-zone

Sarafrazi, Soodabeh; Hammoudeh, Shawkat; Santos, Paulo … - In: Journal of international financial markets, … 32 (2014), pp. 368-396

Persistent link: https://www.econbiz.de/10011299784

Value at risk of the main stock market indexes in the European Union ; (2000 - 2012)

Iglesias, Emma M. - In: Journal of policy modeling : JPMOD ; a social science … 37 (2015) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10011333008

Assessing the diversification risk of a single equity market : evidence from the largest European stock indexes

Nuhiu, Artor; Aliu, Florin; Peci, Bedri - In: International journal of management and economics 58 (2022) 1, pp. 3-16

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs linked to the stock indexes of Germany, Spain,...

Persistent link: https://www.econbiz.de/10013277308

Value-at-Risk Ansätze zur Abschätzung von Marktrisiken : Theoretische Grundlagen und empirische Analysen

Fricke, Jens (contributor) - 2006

Für eine effiziente Kapitalallokation, insbesondere mit Blick auf die Hinterlegung ausreichender Eigenmittel zur Absicherung gegen extreme Marktbewegungen, ist eine möglichst genaue Abschätzung der Marktrisiken erforderlich. Die Ermittlung des Value-at-Risk ist in diesem Zusammenhang von...