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Value-at-Risk-Schätzung mit Gauß'schen Mischverteilungen und künstlichen neuronalen Netzen
Prinzler, Ralf - 2001
Persistent link: https://www.econbiz.de/10001583953
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An evaluation of bank measures for market risk before, during and after the financial crisis
O'Brien, James M.; Szerszeń, Paweł J. - In: Journal of banking & finance 80 (2017), pp. 215-234
Persistent link: https://www.econbiz.de/10011816277
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Can market risk explain the systemic risk? : evidence from the US banking industry
Tzouvanas, Panagiotis - In: Journal of economic studies 51 (2024) 1, pp. 165-184
Persistent link: https://www.econbiz.de/10014466448
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Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
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Asymmetric GARCH value-at-risk over MSCI in financial crisis
Huang, Han-Ching; Su, Yong-chern; Tsui, Jen-Tien - In: International journal of economics and financial issues … 5 (2015) 2, pp. 390-398
Persistent link: https://www.econbiz.de/10011453527
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Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models
Aloui, Chaker; Ben Hamida, Hela - In: Finance a úvěr 65 (2015) 1, pp. 30-54
Persistent link: https://www.econbiz.de/10010474200
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Proposals for a needed adjustment of the var-based market risk charge of Basle II
Fricke, Jens; Pauly, Ralf - 2009
Persistent link: https://www.econbiz.de/10003862652
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Market risks in spot markets of crude oil and products : a long memory value-at-risk approach
Chin, Wen Cheong - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 34 (2010) 2, pp. 19-38
Persistent link: https://www.econbiz.de/10008842376
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What happened to risk management during the 2008 - 09 financial crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009
Persistent link: https://www.econbiz.de/10003877129
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Proposals for a needed adjustment of the VaR-based market risk charge of Basle II
Fricke, Jens; Pauly, Ralf - 2009
We analyze around 200 different financial time series, i.e. components of Dow Jones, Nasdaq, FTSE and Nikkei with seven different VaR approaches. We differentiate our analysis according to characteristics that can be observed. Our analysis shows that in high risk situations in which the time...
Persistent link: https://www.econbiz.de/10009660986