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Credit Risk und Value-at-Risk Alternativen : Herausforderungen für das Risk-Management

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Market risks in spot markets of crude oil and products : a long memory value-at-risk approach

Chin, Wen Cheong - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 34 (2010) 2, pp. 19-38

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International framework for liquidity risk measurement, standards and monitoring : consultative document

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Analysis of the trading book quantitative impact study

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Proposals for a needed adjustment of the VaR-based market risk charge of Basle II

Fricke, Jens; Pauly, Ralf - 2009

We analyze around 200 different financial time series, i.e. components of Dow Jones, Nasdaq, FTSE and Nikkei with seven different VaR approaches. We differentiate our analysis according to characteristics that can be observed. Our analysis shows that in high risk situations in which the time...

Persistent link: https://www.econbiz.de/10009660986