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Bias of a Value-at-Risk Estima...
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Statistical distribution
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ECONIS (ZBW)
1,177
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1
Using weighted distributions to model operational risk
Afonso, Lourdes B.
;
Real, Pedro Corte
- In:
Astin bulletin : the journal of the International …
46
(
2016
)
2
,
pp. 469-485
Persistent link: https://www.econbiz.de/10011576788
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2
Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
Rassoul, Abdelaziz
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 698-703
Persistent link: https://www.econbiz.de/10010227902
Saved in:
3
Estimating and backtesting risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
Saved in:
4
Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi
;
Doko Tchatoka, Firmin
; …
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
3/97
,
pp. 1-19
derive the asymptotic hedging error for options under a generalised jump-diffusion model with kernel
bias
, which nests a …
Persistent link: https://www.econbiz.de/10012484861
Saved in:
5
Subjectivity in conventional tail measures : an exploratory model with "risks & biases"
Majumder, Debasish
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10014473436
Saved in:
6
Improved estimation of poisson rate distributions through a multi-mode survey design
Hitczenko, Marcin
-
2021
less data. The choice of survey mode, therefore, involves a potential tradeoff between
bias
and variance of estimators. I …
Persistent link: https://www.econbiz.de/10012425355
Saved in:
7
Ordering and inequalities for mixtures on risk aggregation
Chen, Yuyu
;
Liu, Peng
;
Liu, Yang
;
Wang, Ruodu
- In:
Mathematical finance : an international journal of …
32
(
2022
)
1
,
pp. 421-451
Persistent link: https://www.econbiz.de/10012815980
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8
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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9
Testing distributional inequalities and asymptotic
bias
Song, Kyungchul
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003716905
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10
Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim
(
contributor
);
Dijk, Dick van
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003754160
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