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Exact simulation of the SABR model
Cai, Ning; Song, Yingda; Chen, Nan - In: Operations research 65 (2017) 4, pp. 931-951
Persistent link: https://www.econbiz.de/10011739058
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Second-order Monte Carlo sensitivities
Daluiso, Roberto - In: The journal of computational finance 23 (2020) 4, pp. 61-91
Persistent link: https://www.econbiz.de/10012212482
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Optimal linear combination of Poisson variables for multivariate statistical process control
Epprecht, Eugenio K.; Aparisi, Francisco; … - In: Computers & operations research : and their … 40 (2013) 12, pp. 3021-3032
Persistent link: https://www.econbiz.de/10010210670
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Value at risk für Kreditinstitute : Erfassung des aggregierten Marktrisikopotentials
Meyer, Christoph - 1999
Persistent link: https://www.econbiz.de/10000682592
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Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80
Persistent link: https://www.econbiz.de/10011392904
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Extreme value theory in emerging markets : evidence from the Montenegrin stock exchange
Cerovic Smolovic, Julija; Karadžić, Vesna - In: Economic annals 60 (2015) 206, pp. 87-116
Persistent link: https://www.econbiz.de/10011421685
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling
Hoogerheide, Lennart; Dijk, Herman K. van - 2008
An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid Mixture of t approximations [QERMit]. As a first step the...
Persistent link: https://www.econbiz.de/10011377096
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Agricultural financial risks resulting from extreme events
Xouridas, Stergios - In: Journal of agricultural economics 66 (2015) 1, pp. 192-220
Persistent link: https://www.econbiz.de/10011299588
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Assessing coherent value-at-risk and expected shortfall with extreme expectiles
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2015
Persistent link: https://www.econbiz.de/10011302290