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ECONIS (ZBW)
610
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1
Risks and vulnerabilities in the U.S. bond mutual fund industry
Bouveret, Antoine
;
Yu, Jie
-
2021
This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify...
Persistent link: https://www.econbiz.de/10012605013
Saved in:
2
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
Li, Jinzhu
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 38-56
Persistent link: https://www.econbiz.de/10013471098
Saved in:
3
Stochastic dominance based comparison for system selection
Batur, D.
;
Choobineh, F.
- In:
European Journal of Operational Research
220
(
2012
)
3
,
pp. 661-672
relationship of a performance metric of interest. The decision maker specifies an output
quantile
set representing a section of the … compares systems over the
quantile
set of interest by a first-order stochastic dominance criterion. The systems that are deemed …
Persistent link: https://www.econbiz.de/10010597616
Saved in:
4
TailCoR
Ricci, Lorenzo
;
Veredas, David
-
2012
for any probability level as it is not based on tail asymptotic arguments (contrary to tail
dependence
coefficients), ii …
Persistent link: https://www.econbiz.de/10012530390
Saved in:
5
A new nonparametric
quantile
estimate for length-biased data with competing risks
Zhang, Feipeng
;
Tan, Zhong
- In:
Economics letters
137
(
2015
),
pp. 10-12
Persistent link: https://www.econbiz.de/10011436181
Saved in:
6
Aversion to risk and downside risk in the large and in the small under non-expected utility : a
quantile
approach
Chavas, Jean-Paul
;
Kim, Kwan-soo
- In:
Theoretical economics letters
5
(
2015
)
6
,
pp. 784-804
Persistent link: https://www.econbiz.de/10011439614
Saved in:
7
The impact of input and output decisions on agricultural production risk
Chavas, Jean-Paul
;
Cooper, Joseph C.
;
Wallander, Steven
- In:
Journal of agricultural and resource economics : JARE ; …
44
(
2019
)
3
,
pp. 513-535
Persistent link: https://www.econbiz.de/10012112115
Saved in:
8
Estimating and forecasting conditional risk measures with extreme value theory : a review
Bee, Marco
;
Trapin, Luca
- In:
Risks : open access journal
6
(
2018
)
2
,
pp. 1-16
One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several...
Persistent link: https://www.econbiz.de/10011866456
Saved in:
9
Large deviations for risk measures in finite mixture models
Bignozzi, Valeria
;
Macci, Claudio
;
Petrella, Lea
- In:
Insurance / Mathematics & economics
80
(
2018
),
pp. 84-92
Persistent link: https://www.econbiz.de/10011872915
Saved in:
10
Uncertainties and green bond markets : evidence from tail
dependence
Lin, Boqiang
;
Su, Tong
- In:
International journal of finance & economics : IJFE
28
(
2023
)
4
,
pp. 4458-4475
Persistent link: https://www.econbiz.de/10014429443
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