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Persistent link: https://www.econbiz.de/10010195917

Evaluating the accuracy of value-at-risk forecasts : new multilevel tests

Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International journal of forecasting 30 (2014) 2, pp. 206-216

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The robustness of estimatiors in structural credit loss distributions

Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 67-97

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Estimating risk on the capital market with VaR method

Bogdan, Sinisa; Baresa, Suzana; Ivanovic, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 1, pp. 165-175

The two basic questions that every investor tries to answer before investment are questions about predicting return and risk. Risk and return are generally considered two positively correlated sizes, during the growth of risk it is expected increase of return to compensate the higher risk. The...

Persistent link: https://www.econbiz.de/10011299237

Conditional value-at-risk approximation to value-at-risk constrained programs : a remedy via Monte Carlo

Hong, L. Jeff; Hu, Zhaolin; Zhang, Liwei - In: INFORMS journal on computing : JOC 26 (2014) 2, pp. 385-400

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Estimating correlated jumps and stochastic volatilities

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

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Value-at-risk time scaling : a Monte Carlo approach

Malataliana, Moepa; Rigotard, Michael - In: The journal of risk model validation 10 (2016) 1, pp. 47-57

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Estimating the distribution of total default losses on the Spanish financial system

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Modeling fund and portfolio risk : a bi-modal approach to analyzing risk in turbulent markets

Karagiannidis, Iordanis; Wilford, D. S. - In: Review of financial economics : RFE 25 (2015), pp. 19-26

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Valuation of real-estate losses via Monte Carlo simulation

Barañano, Aitor; Peña Esteban, J. Iñaki de la; … - In: Economic research 33 (2020) 1,2, pp. 1867-1888

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