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A simulation comparison of aggregation periods for estimating correlations within operational loss data

Panman, K.; Haasbroek, L. J.; Pieters, W. D. - In: The journal of operational risk 11 (2016) 2, pp. 69-86

Persistent link: https://www.econbiz.de/10011600244

A tale of tails : an empirical analysis of loss distribution models for estimating operational risk capital

Dutta, Kabir (contributor); Perry, Jason (contributor) - 2006 - This version: April 2007 (first version: July 2006)

Operational risk is being considered as an important risk component for financial institutions as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the purposes of capital allocation, hedging, and new product...

Persistent link: https://www.econbiz.de/10003347297

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Estimating correlated jumps and stochastic volatilities

Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10010226453

A time-varying jump tail risk measure using high-frequency options data

Ubukata, Masato - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2633-2653

Persistent link: https://www.econbiz.de/10013440507

Dynamic factor copula models with estimated cluster assignments

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021

Persistent link: https://www.econbiz.de/10012608826

Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

Jointly estimating jump beats

Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148

Persistent link: https://www.econbiz.de/10010337468

Extreme co-movements between infectious disease events and crude oil futures prices : from extreme value analysis perspective

Lin, Hang; Zhang, Zhengjun - In: Energy economics 110 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013349928

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

percentage deviations from the target alpha as well as the mean and median excess loss are reported. The accompanying mean … forecasts is investigated. Coefficients of the ordinary (Pearson) and the default correlation are calculated for moving time … windows. Since the calculated default correlation depends on the VaR forecasts, analyses are performed for different quantiles …

Persistent link: https://www.econbiz.de/10013474092