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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709
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Insurance risk capital and risk aggregation : bivariate copula approach
Mejdoub, Hanène; Arab, Mounira Ben - In: International journal of computational economics and … 9 (2019) 3, pp. 202-218
Persistent link: https://www.econbiz.de/10012115324
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Money laundering: correlation between risk assessment and suspicious transactions
Cindori, Sonja - In: Financial theory and practice 37 (2013) 2, pp. 181-206
Persistent link: https://www.econbiz.de/10010438624
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Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
Lin, Tzuling; Tsai, Cary Chi-Liang - In: Insurance / Mathematics & economics 66 (2016), pp. 44-58
Persistent link: https://www.econbiz.de/10011442674
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The risk in the insurance field : a generalized analysis
Ferrentino, Rosa; Vota, Luca - In: Journal of mathematical finance 10 (2020) 1, pp. 200-221
Persistent link: https://www.econbiz.de/10012545597
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Recent declines in life expectancy : implication on longevity risk hedging
Li, Johnny Siu-Hang; Liu, Yanxin - In: Insurance / Mathematics & economics 99 (2021), pp. 376-394
Persistent link: https://www.econbiz.de/10012649240
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Risikomanagement für heterogene Finanzportfolios
Moys, Gunnar - 2018
Persistent link: https://www.econbiz.de/10011776858
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - 2015
Persistent link: https://www.econbiz.de/10010532092
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Accuracy in risk estimation based on simple SMA and EWNA models : evidence from Macedonain Stock Market
Angelovska, Julijana; Ivanovski, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 17-27
Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …
Persistent link: https://www.econbiz.de/10011901688
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On the macro-drivers of realized volatility : the destabilizing impact of UK policy uncertainty across Europe
Karanasos, Menelaos; Yfanti, S. - In: The European journal of finance 26 (2020) 12, pp. 1146-1183
Persistent link: https://www.econbiz.de/10012264953