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Using expected shortfall for credit risk regulation
Osmundsen, Kjartan Kloster - In: Journal of international financial markets, … 57 (2018), pp. 80-93
Persistent link: https://www.econbiz.de/10012127600
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A theory for measures of tail risk
Liu, Fangda; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 3, pp. 1109-1128
Persistent link: https://www.econbiz.de/10012625694
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Optimal and investable portfolios : an empirical analysis with scenario optimization algorithms under crisis market prospects
Janabi, Mazin A. M. al - In: Economic modelling 40 (2014), pp. 369-381
Persistent link: https://www.econbiz.de/10010425591
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Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
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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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Scenario optimization technique for the assessment of downside-risk and investable portfolios in post-financial crisis
Janabi, Mazin A. M. al - In: International journal of financial engineering 2 (2015) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10011403192
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Modeling coherent trading risk parameters under illiquid market perspective
Janabi, Mazin A. M. al - In: Studies in economics and finance 28 (2011) 4, pp. 301-320
Persistent link: https://www.econbiz.de/10009388603
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Risk management in trading and investment portfolios : an optimisation algorithm for maximum risk-budgeting threshold
Janabi, Mazin A. M. al - In: Journal of emerging market finance 11 (2012) 2, pp. 189-229
Persistent link: https://www.econbiz.de/10009752878
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On the appraisal of LVaR throughout the close-out period : an investment management outlook from recent global financial crisis
Janabi, Mazin A. M. al - In: International journal of management practice : IJMP 6 (2013) 3, pp. 248-285
Persistent link: https://www.econbiz.de/10009790987
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Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets
Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906
Persistent link: https://www.econbiz.de/10012653200