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Measuring risk in fixed income portfolios using yield curve models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82

Persistent link: https://www.econbiz.de/10011441011

Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach

Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10011410313

Asymmetry with respect to the memory in stock market volatilities

Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419

Persistent link: https://www.econbiz.de/10011481716

Modeling longevity risk with generalized dynamic factor models and vine-copulae

Chuliá, Helena; Guillén, Montserrat; Uribe, Jorge - In: Astin bulletin : the journal of the International … 46 (2016) 1, pp. 165-190

Persistent link: https://www.econbiz.de/10011485145

Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

Duong, Diep; Swanson, Norman R. - In: Journal of econometrics 187 (2015) 2, pp. 606-621

Persistent link: https://www.econbiz.de/10011499786

Time series simulation with randomized quasi-monte carlo methods : an application to value at risk and expected shortfall

Tzeng, Yu-Ying; Beaumont, Paul Michael; Ökten, Giray - In: Computational economics 52 (2018) 1, pp. 55-77

Persistent link: https://www.econbiz.de/10012052921

Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall

Wilkens, Sascha - In: Journal of risk management in financial institutions 12 (2019) 3, pp. 374-383

Persistent link: https://www.econbiz.de/10012131743

Bekiros, Stelios; Loukeris, Nikolaos; Eleftheriadis, … - In: Computational economics 53 (2019) 2, pp. 783-816

Persistent link: https://www.econbiz.de/10012134868

Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based on the 1-min EUR/USD exchange rate returns. Five...

Persistent link: https://www.econbiz.de/10012018629

New backtests for unconditional coverage of expected shortfall

Löser, Robert; Wied, Dominik; Ziggel, Daniel - In: Journal of risk 21 (2018/2019) 4, pp. 39-59

Persistent link: https://www.econbiz.de/10012059868

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