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An application of extreme value theory in estimating liquidity risk

Muela, Sonia Benito; Martín, Carmen López; Sanz, … - In: European research on management and business economics 23 (2017) 3, pp. 157-164

Persistent link: https://www.econbiz.de/10011893406

A comparison of market risk measures from a twofold perspective : accurate and loss function

Muela, Sonia Benito; López-Martin, Carmen; … - In: ACRN journal of finance and risk perspectives 11 (2022), pp. 79-104

Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are...

Persistent link: https://www.econbiz.de/10014235034

A cryptocurrency empirical study focused on evaluating their distribution functions

López-Martín, Carmen; Arguedas-Sanz, Raquel; Muela, … - In: International review of economics & finance : IREF 79 (2022), pp. 387-407

Persistent link: https://www.econbiz.de/10013345665

Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR

Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80

Persistent link: https://www.econbiz.de/10011392904

The role of the loss function in value-at-risk comparisons

Abad, Pilar; Benito Muela, Sonia; López Martin, Carmen - In: The journal of risk model validation 9 (2015) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010516723

Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis

Abad, Pilar; Benito Muela, Sonia; López-Martín, Carmen; … - In: Journal of risk 18 (2016) 5, pp. 1-28

Persistent link: https://www.econbiz.de/10011598265