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Tail risk in energy portfolios

González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434

Persistent link: https://www.econbiz.de/10011298962

Agricultural financial risks resulting from extreme events

Xouridas, Stergios - In: Journal of agricultural economics 66 (2015) 1, pp. 192-220

Persistent link: https://www.econbiz.de/10011299588

Assessing coherent value-at-risk and expected shortfall with extreme expectiles

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2015

Persistent link: https://www.econbiz.de/10011302290

The importance of accurate risk modelling techniques for corporate ownders and managers : an application of distribution fitting to illiquid securities

O'Connell, Darren; O'Grady, Barry - In: Corporate ownership & control : international … 11 (2013/14) 2, pp. 8-20

Persistent link: https://www.econbiz.de/10011337224

Extreme risk, value-at-risk and expected shortfall in the gold market

Chinhamu, Knowledge; Huang, Chun-Kai; Huang, Chun-Sung; … - In: International business and economics research journal 14 (2015) 1, pp. 107-122

Persistent link: https://www.econbiz.de/10010529381

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis

Vatamidou, Eleni; Adan, Ivo; Vlasiou, Maria; Zwart, Bert - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 366-378

Persistent link: https://www.econbiz.de/10010195917

Businesses risks aggregation with Copula

Kamdem, J. Sadefo - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 58-72

Persistent link: https://www.econbiz.de/10010337911

High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables

Santos, Paulo Araújo; Alves, Isabel Fraga; Hammoudeh, … - In: The North American journal of economics and finance : a … 26 (2013), pp. 487-496

Persistent link: https://www.econbiz.de/10010367568

A new approach to assessing model risk in high dimensions

Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178

Persistent link: https://www.econbiz.de/10011543968