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Forecasting extreme financial risk : a critical analysis of practical methods for the Japanese market
Daníelsson, Jón; Morimoto, Yuji - In: Monetary and economic studies 18 (2000) 2, pp. 25-48
Persistent link: https://www.econbiz.de/10001539606
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Forecasting extreme financial risk : a critical analysis of practical methods for the Japanese market
Daníelsson, Jón; Morimoto, Yuji - 2000
Persistent link: https://www.econbiz.de/10001468860
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Die Quantifizierung und Prognose des Marktrisikos
Dockner, Engelbert J. - In: Wege zur Ganzheit : Festschrift für J. Hanns Pichler …, (pp. 799-809). 1996
Persistent link: https://www.econbiz.de/10001296812
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Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement
Quell, Peter - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 43-52
Persistent link: https://www.econbiz.de/10014489153
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Forecasting models and probabilistic sensitivity analysis : an application to bank's risk appetite thresholds within the risk appetite framework
Polato, Maurizio; Floreani, Josanco; Giannelli, Giuseppe; … - In: Financial markets, SME financing and emerging economies, (pp. 95-119). 2017
Persistent link: https://www.econbiz.de/10011750616
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It pays to violate : how effective are the Basel accord penalties?
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003910300
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Forecasting systemic impact in financial networks
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - In: International journal of forecasting 30 (2014) 3, pp. 781-794
Persistent link: https://www.econbiz.de/10010515583
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It pays to violate : how effective are the Basel accord penalties in encouraging risk management?
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - In: Accounting and finance : journal of the Accounting … 52 (2012) 1, pp. 95-116
Persistent link: https://www.econbiz.de/10009512724