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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled … oflow probability worst outcomes, RiskMetrics analysis underpredicts the VaR while historical simulationoverpredicts the VaR …. However, the estimates obtained from applying the semi-parametric method aremore accurate in the VaR prediction. In addition …
Persistent link: https://www.econbiz.de/10010533206
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An analysis of extreme movements of exchange rates of the main currencies traded in the Foreign Exchange market
Iglesias, Emma M. - In: Applied economics 44 (2012) 34/36, pp. 4631-4637
Persistent link: https://www.econbiz.de/10009713374
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Multivariate Modellierung operationeller Risiken in Kreditinstituten
Bayer, Verena - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009505637
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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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Multivariate Modellierung operationeller Risiken in Kreditinstituten
Bayer, Verena - 2012
Schadenspotential und stellen eine große Herausforderung für das Risikomanagement der Banken dar. Verena Bayer untersucht Ansätze zur …
Persistent link: https://www.econbiz.de/10014016438
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Equity tail risk and currency risk premiums
Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao - In: Journal of financial economics 143 (2022) 1, pp. 484-503
Persistent link: https://www.econbiz.de/10013350667
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An examination of the tail contribution to distortion risk measures
Santolino, Miguel; Belles-Sampera, James; Sarabia … - In: Journal of risk 23 (2021) 6, pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
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Tail risk and extreme events : connections between oil and clean energy
Di Febo, Elisa; Foglia, Matteo; Angelini, Eliana - In: Risks : open access journal 9 (2021) 2/39, pp. 1-13
Do tail events in the oil market trigger extreme responses by the clean-energy financial market (and vice versa)? This paper investigates the relationship between oil price and clean-energy stock with a novel methodology, namely extreme events study. The aim is to investigate an asymmetry effect...
Persistent link: https://www.econbiz.de/10012483185
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Forecasting the effect of extreme sea-level rise on financial market risk
Garcia-Jorcano, Laura; Sanchis-Marco, Lidia - In: International review of economics & finance : IREF 93 (2024) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10014535506
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The geometry of the world of currency volatilities
Konstantinov, Gueorgui; Fabozzi, Frank J. - In: Computational economics 60 (2022) 1, pp. 125-145
Persistent link: https://www.econbiz.de/10013262502