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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 … movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often …
Persistent link: https://www.econbiz.de/10012302139
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The new hybrid value at risk approach based on the extreme value theory
Radivojevic, Nicola; Cvjetkovic, Milena; Stepanov, Saša - In: Estudios de economía 43 (2016) 1, pp. 29-52
of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable …
Persistent link: https://www.econbiz.de/10011503775
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Risikokapitalallokation und Marktpreisrisikosteuerung mit Value-at-Risk-Limiten
Straßberger, Mario - 2002 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001745873
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Credit Risk und Value-at-Risk Alternativen : Herausforderungen für das Risk-Management
Oehler, Andreas (ed.) - 1998
Persistent link: https://www.econbiz.de/10000664860
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Value at risk : kritische Betrachtung des Konzepts ; Möglichkeiten der Übertragung auf den Nichtfinanzbereich
Diggelmann, Patrick B. - 1999
Persistent link: https://www.econbiz.de/10001402992
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Predicting and hedging credit portfolio risk with macroeconomic factors
Bär, Tobias - 2002
Persistent link: https://www.econbiz.de/10001649713
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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
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Long run peso/dollar exchange rates and extreme value behavior : Value at Risk modeling
Jesús, Raúl de; Ortiz, Edgar; Cabello, Alejandra - In: The North American journal of economics and finance : a … 24 (2013), pp. 139-152
Persistent link: https://www.econbiz.de/10009739669
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The full tails gamma distribution applied to model extreme values
Castillo, Joan del; Daoudi, Jalila; Serra, Isabel - In: Astin bulletin : the journal of the International … 47 (2017) 3, pp. 895-917
Persistent link: https://www.econbiz.de/10011763681
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From optimisation to resilience : the changing nature of the risk reward conversation as seen through Westpac's capital and liquidity management policies
Bosworth, Ed; Rich, Tony - In: Journal of risk management in financial institutions 6 (2012/13) 2, pp. 160-166
Persistent link: https://www.econbiz.de/10009737793