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Markets liquidity risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
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Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets
Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun - In: Journal of risk finance : the convergence of financial … 18 (2017) 1, pp. 88-118
Persistent link: https://www.econbiz.de/10011653721
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Extreme risk in resource indices and the generalized logistic distribution
Huang, Chun-Kai; Pather, Venelle; Hammujuddy, Jahvaid; … - In: The journal of applied business research 33 (2017) 2, pp. 283-296
Persistent link: https://www.econbiz.de/10011673879
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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
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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/10012423037
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How do risk attitudes of clearing firms matter for managing default exposure in futures markets?
Cheng, Jie; Hong, Yi; Tao, Juan - In: The European journal of finance 22 (2016) 10/12, pp. 909-940
Persistent link: https://www.econbiz.de/10011715223
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Relative bound and asymptotic comparison of expectile with respect to expected shortfall
Tadese, Mekonnen; Drapeau, Samuel - In: Insurance / Mathematics & economics 93 (2020), pp. 387-399
Persistent link: https://www.econbiz.de/10012294144
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Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
Brahimi, Brahim; Abdelli, Jihane - In: Insurance / Mathematics & economics 70 (2016), pp. 135-143
Persistent link: https://www.econbiz.de/10011597203
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Do coherent risk measures identify assets risk profiles similarly? : evidence from international futures markets
Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael - In: Investment management and financial innovations 14 (2017) 3, pp. 361-380
Persistent link: https://www.econbiz.de/10011875432
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Measuring systemic risk via GAS models and extreme value theory : revisiting the 2007 financial crisis
Gavronski, Pedro Gerhardt; Ziegelmann, Flavio A. - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012490211