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Quantile methods for financial risk management
Schaumburg, Julia - 2013
resulting extreme Value at Risk (VaR) forecast framework is applied to different international stock indices. In many situations … corresponds to the total effect of each firm’s VaR on the system’s VaR. Using data on major financial institutions in the U.S. and …
Persistent link: https://www.econbiz.de/10009783478
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Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48
Persistent link: https://www.econbiz.de/10010520085
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Risikomanagement für heterogene Finanzportfolios
Moys, Gunnar - 2018
Persistent link: https://www.econbiz.de/10011776858
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Can market risk explain the systemic risk? : evidence from the US banking industry
Tzouvanas, Panagiotis - In: Journal of economic studies 51 (2024) 1, pp. 165-184
Persistent link: https://www.econbiz.de/10014466448
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Risk management under extreme events
Fernández, Viviana - In: International review of financial analysis 14 (2005) 2, pp. 113-148
Persistent link: https://www.econbiz.de/10002738142
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Extreme measures of agricultural financial risk
Morgan, C. W.; Cotter, John; Dowd, Kevin - In: Journal of agricultural economics 63 (2012) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10009504666
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Extreme value at risk : a scenario for risk management
Kabundi, Alain; Mwamba Muteba, John - In: The South African journal of economics 79 (2011) 2, pp. 173-183
Persistent link: https://www.econbiz.de/10009299903
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
Persistent link: https://www.econbiz.de/10001736255
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...
Persistent link: https://www.econbiz.de/10009725481
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The impact of global financial crisis on the dependence structure of equity markets and on risk management
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Managerial and Financial Accounting 5 (2013) 1, pp. 1-32
-varying dependence structure of market and in VaR and ES measures especially during global financial crises period. Empirical results …
Persistent link: https://www.econbiz.de/10010816752