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Portfolio stress testing applied to commodity futures
Paraschiv, Florentina; Reese, Stine Marie; Skjelstad, … - In: Computational management science 17 (2020) 2, pp. 203-240
Persistent link: https://www.econbiz.de/10012272062
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Tail behaviour and tail dependence of generalized hyperbolic distributions
Hammerstein, Ernst August v. - In: Advanced modelling in mathematical finance : in honour …, (pp. 3-40). 2016
Persistent link: https://www.econbiz.de/10011800330
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The role of fat-tailed distribution in the analysis of Black Swan events
Peng, Shaogeng - In: Proceedings of the 5th International Conference on …, (pp. 84-87). 2022
Persistent link: https://www.econbiz.de/10013348523
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Risk measurement and management of operational risk in insurance companies from an enterprise perspective
Gatzert, Nadine; Kolb, Andreas - In: The journal of risk and insurance : the journal of the … 81 (2014) 3, pp. 683-708
Persistent link: https://www.econbiz.de/10010406698
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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice
Dimitriadis, Timo; Halbleib, Roxana - 2019
This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...
Persistent link: https://www.econbiz.de/10012317619
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The dependence structure between Chinese and other major stock markets using extreme values and copulas
Hussain, Saiful Izzuan; Li, Steven - In: International review of economics & finance : IREF 56 (2018), pp. 421-437
Persistent link: https://www.econbiz.de/10012033721
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Remodeling of FLIEM : the cash management in Polish small and medium firms with full operating cycle in various business environments
Michalski, Grzegorz; Rutkowska-Podołowska, Małgorzata; … - In: Efficiency in business and economics : proceedings from …, (pp. 119-132). 2018
The Financial Liquidity Investment Efficiency Model (FLIEM) was presented and discussed by Michalski (Value-based working capital management: determining liquid asset levels in entrepreneurial environments. Palgrave Macmillan, 2014). Here the Cash Levels in Full Operating Cycle (CLFOC) is...
Persistent link: https://www.econbiz.de/10012230735
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What do a bank's legal expenses reveal about its internal controls and operational risk?
McNulty, James E.; Akhigbe, Aigbe O. - In: Journal of financial stability 30 (2017), pp. 181-191
Persistent link: https://www.econbiz.de/10011825605
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The measurement of operational risk capital costs with an advanced measurement approach through the loss distribution approach (a case study in one of the Indonesia's state-owned b...
Hartini, Rina; Hartoyo, S.; Sasongko, H. - In: Competition and cooperation in economics and business : …, (pp. 167-177). 2018
Persistent link: https://www.econbiz.de/10011949721