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Extreme value statistics using related variables

Ahmed, Hanan - 2022

Persistent link: https://www.econbiz.de/10013263346

Risk measures with applications in finance and economics

McAleer, Michael (ed.); Wong, Wing Keung (ed.) - 2019

Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal...

Persistent link: https://www.econbiz.de/10012058776

Old-fashioned parametric models are still the best : a comparison of Value-at-Risk approaches in several volatility states

Buczyński, Mateusz; Chlebus, Marcin - Uniwersytet Warszawski / Wydział Nauk Ekonomicznych - 2019

Persistent link: https://www.econbiz.de/10012041611

Measurement of extreme market risk : insights from a comprehensive literature review

Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … methodology, in the internal models approach (IMA) regime where financial institutions (FI's) can choose suitable VaR-ES modelling …

Persistent link: https://www.econbiz.de/10013183970