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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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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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Is gold still a safe haven for stock markets? : new insights through the tail thickness of portfolio return distributions
Echaust, Krzysztof; Just, Małgorzata - In: Research in international business and finance 63 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10014248962
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Risk-adjusted performances of world equity indices
Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 706-721
Persistent link: https://www.econbiz.de/10011562564
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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 …
Persistent link: https://www.econbiz.de/10010533206
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Foreign vulnerabilities, domestic risks : the global drivers of GDP-at-risk
Lloyd, Simon; Manuel, Ed; Panchev, Konstantin - 2021 - revised 26 April 2022
Persistent link: https://www.econbiz.de/10013259552
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Foreign vulnerabilities, domestic risks : the global drivers of GDP-at-Risk
Lloyd, Simon; Manuel, Ed; Panchev, Konstantin - 2021
Persistent link: https://www.econbiz.de/10012795156
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Global downside risk and equity returns
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: Journal of international money and finance 98 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012140071
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On climate tail risks
García, Pablo - 2022
Persistent link: https://www.econbiz.de/10013400193
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Applied Asset and Risk Management : A Guide to Modern Portfolio Management and Behavior-Driven Markets
Schulmerich, Marcus - 2015
This book is a guide to asset and risk management from a practical point of view. It is centered around two questions … they should not? - How do investors deal with such crises in terms of their risk measurement and management and, as a … market anomalies and historical crashes. It is intended to serve as a comprehensive introduction to asset and risk management …
Persistent link: https://www.econbiz.de/10012402226