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Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
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Market risk
Saunders, Anthony; Cornett, Marcia M. - In: International finance and accounting handbook, (pp. 8.1.-8.26). 2003
Persistent link: https://www.econbiz.de/10001801320
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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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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
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Measuring ESG risks in multi-asset portfolios : decomposing VaRESG into CVaRESG
Capelli, Paolo; Ielasi, Federica; Russo, Angeloantonio - In: Finance research letters 66 (2024), pp. 1-9
Persistent link: https://www.econbiz.de/10015061195
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VaR-optimal risk management in regime-switching jump-diffusion models
Ramponi, Alessandro - In: Journal of mathematical finance 3 (2013) 1, pp. 103-109
Persistent link: https://www.econbiz.de/10010240819
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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
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Forecasting value-at-risk with time-varying variance, skewnessn and kurtosis in an exponential weighted moving average framework
Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...
Persistent link: https://www.econbiz.de/10011731521
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
1 Introduction: Economics and Organization of Financial Markets -- Part 1 Basic Financial Instruments -- 2 Basic Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets -- 5 Introduction to the Analysis of Interest Rate and...
Persistent link: https://www.econbiz.de/10013441427