Narrow search
Showing 1 - 10 of 9,152
Cover Image
Chapter 17. Financial Risk Measurement for Financial Risk Management
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2013
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw …
Persistent link: https://www.econbiz.de/10014025361
Cover Image
Stylized facts, volatility dynamics and risk measures of cryptocurrencies
Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of business economics and management 24 (2023) 3, pp. 527-550
. Sensitivity analysis and measures of Value-at-Risk (VaR) and Expected Shortfall (ES) show the amount of losses investors can …
Persistent link: https://www.econbiz.de/10014420375
Cover Image
From duration analysis to GARCH models : an approach to systematization of quantitative methods in risk measurement
Jajuga, Krzysztof - In: Economics and business review 2 (2016) 3, pp. 7-19
Persistent link: https://www.econbiz.de/10011634951
Cover Image
Drawdown risk measures for asset portfolios with high frequency data
Masala, Giovanni; Petroni, Filippo - In: Annals of finance 19 (2023) 2, pp. 265-289
Persistent link: https://www.econbiz.de/10014326787
Cover Image
Current volatility as a measure of market risk
Kussy, Mikhail - In: International journal of risk assessment and management … 20 (2017) 4, pp. 333-349
Persistent link: https://www.econbiz.de/10011859119
Cover Image
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709
Cover Image
Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns
Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64
Persistent link: https://www.econbiz.de/10011475596
Cover Image
Hull-White's value at risk model : case study of Baltic equities market
Radivojević, Nikola; Ćurčić, Nikola V.; … - In: Journal of business economics and management 18 (2017) 5, pp. 1023-1041
Persistent link: https://www.econbiz.de/10011781020
Cover Image
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi; Dionne, Georges - In: Journal of risk : JOR 25 (2023) 6, pp. 73-103
Persistent link: https://www.econbiz.de/10014487244
Cover Image
Integrating ESG risks into value-at-risk
Capelli, Paolo; Ielasi, Federica; Russo, Angeloantonio - In: Finance research letters 55 (2023) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10014473247