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Extended saddlepoint methods for credit risk measurement

García-Céspedes, Rúben; Moreno, Manuel - In: The journal of computational finance 20 (2016) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10011656202

Expected shortfall or median shortfall

Kou, Steven; Peng, Xianhua - In: Journal of financial engineering 1 (2014) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10010508103

PELVE : probability equivalent level of VaR and ES

Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370

Persistent link: https://www.econbiz.de/10014364915

Diversification quotients based on VaR and ES

Han, Xia; Lin, Liyuan; Wang, Ruodu - In: Insurance / Mathematics & economics 113 (2023), pp. 185-197

Persistent link: https://www.econbiz.de/10014466211

Oil tail-risk forecasts : from financial crisis to COVID-19

Kuang, Wei - In: Risk management : an international journal 24 (2022) 4, pp. 420-460

Persistent link: https://www.econbiz.de/10013464195

Forecasting risk measures using intraday and overnight information

Santos, Douglas Gomes dos; Candido, Osvaldo; Tófoli, … - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013449240

On the effectiveness of stock index futures for tail risk protection

Zouari, Hammadi - In: International journal of economics and financial issues … 12 (2022) 3, pp. 38-52

Persistent link: https://www.econbiz.de/10013259361

Sharp probability tail estimates for portfolio credit risk

Collamore, Jeffrey F.; Silva, Hasitha de; Vidyashankar, … - In: Risks : open access journal 10 (2022) 12, pp. 1-20

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors. The default for an individual loan occurs when the assets of a company (or individual) fall...

Persistent link: https://www.econbiz.de/10014230963

Assessing the difference between integrated quantiles and integrated cumulative distribution functions

Wei, Yunran; Zitikis, Ric̆ardas - In: Insurance / Mathematics & economics 111 (2023), pp. 163-172

Persistent link: https://www.econbiz.de/10014317143

Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013367470