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Tail risk emanating from troubled European banking sectors
Javed, Farrukh; Sabzevari, Hassan; Virk, Nader Shahzad - In: Finance research letters 43 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10014632302
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Network tail risk estimation in the European banking system
Torri, Gabriele; Giacometti, Rosella; Tichý, Tomáš - In: Journal of economic dynamics & control 127 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012668977
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Worst-case VaR and CVaR
Čerbáková, Jana - In: Operations research proceedings 2005 : selected papers …, (pp. 817-822). 2006
Persistent link: https://www.econbiz.de/10003347829
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Modeling extreme events: time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a … on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …
Persistent link: https://www.econbiz.de/10012385032
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Modeling extreme events : time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2021
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a … on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …
Persistent link: https://www.econbiz.de/10012429187
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Asymmetry in the conditional distribution of euro-area inflation
Tagliabracci, Alex - 2020
Persistent link: https://www.econbiz.de/10012204734
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Inflation co-movement across countries in multi-maturity term structure : an arbitrage-free approach
Chen, Shi; Härdle, Wolfgang; Wang, Weining - 2015
Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free model across different countries in a...
Persistent link: https://www.econbiz.de/10011389060
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Inflation co-movement across countries in multi-maturity term structure: an arbitrage-free approach
Chen, Shi - In: Econometric measures of financial risk in high dimensions, (pp. 63-89). 2017
Persistent link: https://www.econbiz.de/10011913346
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Value-at-Risk Ansätze zur Abschätzung von Marktrisiken : Theoretische Grundlagen und empirische Analysen
Fricke, Jens (contributor) - 2006
Value-at-Risk -- Volatilität und Interdependenz -- Neuere Value-at-Risk Ansätze -- Empirische Vergleichsstudie … Value-at-Risk ist in diesem Zusammenhang von großer Bedeutung. Jens Fricke untersucht die theoretischen Grundlagen der … verschiedenen Value-at-Risk Ansätze. Besonderen Wert legt er dabei auf die Darlegung neuerer Ansätze sowie die konsequente …
Persistent link: https://www.econbiz.de/10013516630
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Value-at-Risk Ansätze zur Abschätzung von Marktrisiken : theoretische Grundlagen und empirische Analysen
Fricke, Jens - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003359314