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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

Essays in Financial Economics

Sobott, Jonas Karl - 2017

Persistent link: https://www.econbiz.de/10012794977

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

Oehler, Andreas (ed.) - 1998

Persistent link: https://www.econbiz.de/10000664860

Exploring the influence of risk management capabilities on SMEs' export intentions : a cross-country analysis

Civelek, Mehmet; Erben, Michal; Kuděj, Michal; … - In: International entrepreneurship and management journal 20 (2024) 3, pp. 2369-2396

Persistent link: https://www.econbiz.de/10015080646

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

Backtesting Basel III : evaluating the market risk of past crises through the current regulation

Zeuli, Marcelo; Silva, André Luiz Carvalhal da - In: Applied economics 50 (2018) 59, pp. 6382-6396

Persistent link: https://www.econbiz.de/10012063432

Value-at-risk and the global financial crisis

Ha Tran Manh; Mai Ngoc Tran - In: The journal of risk model validation 17 (2023) 1, pp. 41-83

Persistent link: https://www.econbiz.de/10014485605

Market risk model selection and medium-term risk with limited data : application to ocean tanker freight markets

Kavussanos, Manolis G.; Dimitrakopoulos, Dimitris N. - In: International review of financial analysis 20 (2011) 5, pp. 258-268

Persistent link: https://www.econbiz.de/10009492114

Market risk disclosure in banking : an empirical analysis on four global systemically important European banks

Scannella, Enzo; Polizzi, Salvatore - In: Journal of banking regulation 19 (2018) 2, pp. 87-100

Persistent link: https://www.econbiz.de/10012010255

Impact of income diversification strategy on credit risk and market risk among microfinance institutions

Duho, King Carl Tornam; Duho, Divine Mensah; Forson, … - In: Journal of economic and administrative sciences 39 (2023) 2, pp. 523-546

Persistent link: https://www.econbiz.de/10014305877