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Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach

Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10011410313

On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles

Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28

reviewing practical concerns involving backtesting and robustness, this article more closely examines regulatory applications of …

Persistent link: https://www.econbiz.de/10011867427

Backtesting expected shortfall : evidence from European securitized real estate

Almudhaf, Fahad - In: Applied economics letters 25 (2018) 3, pp. 176-182

Persistent link: https://www.econbiz.de/10011853830

Backtesting VaR and ES under the magnifying glass

Argyropoulos, Christos; Panopulu, Aikaterinē - In: International review of financial analysis 64 (2019), pp. 22-37

Persistent link: https://www.econbiz.de/10012208280

Bedingte Schätzung von Value at Risk und Expected Shortfall

Schaudeck, Alexander - 2014

Der Value at Risk ist die am stärksten verbreitete Kennzahl zur Bestimmung des Risikos bei Finanzinstituten. Für diese gibt es bezüglich Theorie, Simulation und empirischer Anwendung bereits ein breites Spektrum an Literatur. Im Rahmen dieser Arbeit werden verschiedene Methoden zur Schätzung...

Persistent link: https://www.econbiz.de/10010532752

The new international regulation of market risk: roles of VaR and CVaR in model validation

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012545817

A simple traffic light approach to backtesting expected shortfall

Costanzino, Nick; Curran, Mike - In: Risks : open access journal 6 (2018) 1, pp. 1-7

We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and … analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking …

Persistent link: https://www.econbiz.de/10011811532

Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market

Sobreira, Nuno; Louro, Rui - In: Finance research letters 32 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430745

Regression-based expected shortfall backtesting

Bayer, Sebastian; Dimitriadis, Timo - In: Journal of financial econometrics 20 (2022) 3, pp. 437-471

Persistent link: https://www.econbiz.de/10013349110

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