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Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors
Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226
This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail risk interdependence measurement framework...
Persistent link: https://www.econbiz.de/10011545172
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The impact of highter order moments added to the multiscale Carhart model for different investment periods
Trimech, Anyssa - In: International journal of decision sciences, risk and … 5 (2013/14) 3, pp. 263-276
Persistent link: https://www.econbiz.de/10011347007
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Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian; Chabot, Ben; Ghysels, Eric; Kurz, … - In: Journal of banking & finance 113 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
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Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
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Predicting financial crisis by examining risk-return relationship
Sehgal, Sanjay; Pandey, Asheesh - In: Theoretical economics letters 8 (2018) 1, pp. 48-71
Persistent link: https://www.econbiz.de/10011842065
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Measuring model risk in the European Energy Exchange
Gianfreda, Angelica; Scandolo, Giacomo - In: Handbook of recent advances in commodity and financial …, (pp. 89-110). 2018
Persistent link: https://www.econbiz.de/10011898620
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Using the extremal index for value-at-risk backtesting
Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - Sonderforschungsbereich Statistical Modelling of … - 2018
Persistent link: https://www.econbiz.de/10011921089
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A comparison of expected shortfall estimation models
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47
Persistent link: https://www.econbiz.de/10011317189
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Using the extremal index for value-at-risk backtesting
Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - In: Journal of financial econometrics 18 (2020) 3, pp. 556-584
Persistent link: https://www.econbiz.de/10012316700
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Optimal trade execution under displaced diffusions dynamics across different risk criteria
Brigo, Damiano; Di Graziano, Giuseppe - In: Journal of financial engineering 1 (2014) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10010508077