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Individual pension risk preference elicitation and collective asset allocation with heterogeneity
Alserda, Gosse A. G.; Dellaert, Benedict G. C.; … - In: Journal of banking & finance 101 (2019), pp. 206-225
Persistent link: https://www.econbiz.de/10012162674
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Measuring dynamic market risk charge for market risks
Rahim, Norhana Abd.; Tafri, Fauziah Hanim - In: International journal of economics, finance and … 1 (2013) 3, pp. 175-180
Persistent link: https://www.econbiz.de/10010251805
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Risk model backtesting
Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10011483358
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Comparison of market risk models with respect to suggested changes of Basel accord
Stiborová, Eliška; Sznapková, Barbora; Tichný, Tomáš - In: Acta oeconomica : periodical of the Hungarian Academy … 64 (2014), pp. 257-274
Persistent link: https://www.econbiz.de/10010474360
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Assessing market risk of Indian index funds
Biswas, Suparna; Dutta, Santanu - In: Global business review 16 (2015) 3, pp. 511-523
Persistent link: https://www.econbiz.de/10011409306
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The fundamental review of trading book: New standard approach and risk management impacts
Poretta, Pasqualina; Agnese, Paolo - In: Journal of risk management in financial institutions 14 (2020/2021) 2, pp. 209-219
Persistent link: https://www.econbiz.de/10012613991
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Market risk : exponential weighting in the value-at-risk calculation
Broll, Udo; Förster, Andreas - 2020
When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the Value-at-Risk calculation...
Persistent link: https://www.econbiz.de/10012285469
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Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions
Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85
The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...
Persistent link: https://www.econbiz.de/10012302139
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Optimising the value-at-risk model in banks in India to adequately quantify market risks in emerging markets
Akhmedov, Fakhraddin; Zeitoun, Mhd Shaker - In: International journal of economic policy in emerging … 12 (2019) 4, pp. 337-347
Persistent link: https://www.econbiz.de/10012251125
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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