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Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation

Hassani, Samir Saissi; Dionne, Georges - In: Journal of risk : JOR 25 (2023) 6, pp. 73-103

Persistent link: https://www.econbiz.de/10014487244

Market risk, value-at-risk and exponential weighting

Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91

Persistent link: https://www.econbiz.de/10013369763

Comparison of market risk models with respect to suggested changes of Basel accord

Stiborová, Eliška; Sznapková, Barbora; Tichný, Tomáš - In: Acta oeconomica : periodical of the Hungarian Academy … 64 (2014), pp. 257-274

Persistent link: https://www.econbiz.de/10010474360

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...

Persistent link: https://www.econbiz.de/10012302139

Volatility and market risk of the pork market in China

Pan, Wei-Fong - In: The empirical economics letters : a monthly … 15 (2016) 7, pp. 697-704

Persistent link: https://www.econbiz.de/10011655819

Portfolio risk forecasting

Braun, Valentin; Hackethal, Andreas - In: Journal of risk 16 (2013/2014) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10013262566

Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns

Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64

Persistent link: https://www.econbiz.de/10011475596

Applying three VaR approaches in measuring market risk of stock portfolio : the case study of VN-30 stock basket in HOSE

Nguyen Quang Thinh; Vo Thi Quy - In: Journal of economic development 24 (2017) 2, pp. 90-113

Persistent link: https://www.econbiz.de/10011804846

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794

Estimation window strategies for value-at-risk and expected shortfall forecasting

Berens, Tobias; Weiß, Gregory N. F.; Ziggel, Daniel - In: Journal of risk 20 (2017/2018) 5, pp. 33-82

Persistent link: https://www.econbiz.de/10011914663

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