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Modifikation der Verteilungsannahme im Value-at-Risk-Modell
Jödicke, Ralf; Schremper, Ralf - 1999
Persistent link: https://www.econbiz.de/10001404275
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Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors
Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226
This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and …. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …
Persistent link: https://www.econbiz.de/10011545172
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Risk measurement with a safety belt : Pareto meets Chebyshev
Tödter, Karl-Heinz - In: Kredit und Kapital 45 (2012) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009580916
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Assessing small non-zero perceptions of chance : the case of H1N1 (swine) flu risks
Bruin, Wändi Bruine de; Parker, Andrew M.; Maurer, Jürgen - In: Journal of risk and uncertainty : JRU 42 (2011) 2, pp. 145-159
Persistent link: https://www.econbiz.de/10009266899
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Endogenous extreme events and the dual role of prices
Daníelsson, Jón; Shin, Hyun Song; Zigrand, Jean-Pierre - In: Annual review of economics 4 (2012), pp. 83-109
Persistent link: https://www.econbiz.de/10009692756
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The distribution of returns and risk forecasting
Bilson, John F. - In: Risk management : a modern perspective, (pp. 557-581). 2006
Persistent link: https://www.econbiz.de/10003271736
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Simulative Untersuchung der Eigenschaften von Testverfahren auf Elliptizität mit Anwendung auf Finanzmarktdaten
Gogokhia, Lia - 2008
Persistent link: https://www.econbiz.de/10003672746
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Three essays on dynamic economics
Hashimzade, Nigar - 2003
Persistent link: https://www.econbiz.de/10003385291
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Financial decision-making under distribution uncertainty
Kacperczyk, Marcin - 2004
Persistent link: https://www.econbiz.de/10003386915
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Holding the economy by the tail: analysis of short- and long-run macroeconomic risks
Franta, Michal; Libich, Jan - 2021
Persistent link: https://www.econbiz.de/10012618211