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Market risk, value-at-risk and exponential weighting

Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91

Persistent link: https://www.econbiz.de/10013369763

Comparison of market risk models with respect to suggested changes of Basel accord

Stiborová, Eliška; Sznapková, Barbora; Tichný, Tomáš - In: Acta oeconomica : periodical of the Hungarian Academy … 64 (2014), pp. 257-274

Persistent link: https://www.econbiz.de/10010474360

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...

Persistent link: https://www.econbiz.de/10012302139

Portfolio risk forecasting

Braun, Valentin; Hackethal, Andreas - In: Journal of risk 16 (2013/2014) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10013262566

The effectiveness of Value-at-Risk models in various volatility regimes

Schiffers, Aleksander; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012816709

Model Risk for Market Risk Modeling

Hsu, Jason C. - 2016

Standard risk management approaches fail to consider parameter uncertainty, which has led to improper risk management …

Persistent link: https://www.econbiz.de/10013008923

Applying three VaR approaches in measuring market risk of stock portfolio : the case study of VN-30 stock basket in HOSE

Nguyen Quang Thinh; Vo Thi Quy - In: Journal of economic development 24 (2017) 2, pp. 90-113

Persistent link: https://www.econbiz.de/10011804846

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794

Score-driven Markov-switching EGARCH models : an application to systematic risk analysis

Blazsek, Szabolcs; Ho, Han-Chiang; Liu, Su-Ping - In: Applied economics 50 (2018) 56, pp. 6047-6060

Persistent link: https://www.econbiz.de/10012063386

Risk model backtesting

Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162

Persistent link: https://www.econbiz.de/10011483358

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