Similar Search Results

Risk measures in finance : congruent or contrasting?

Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180

Persistent link: https://www.econbiz.de/10012391033

Systematic extreme downside risk

Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - In: Journal of international financial markets, … 61 (2019), pp. 128-142

Persistent link: https://www.econbiz.de/10012128287

Weighted comonotonic risk sharing under heterogeneous beliefs

Liu, Haiyan - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 647-673

Persistent link: https://www.econbiz.de/10012243394

Measuring portfolio risk of non-energy commodity using time-varying vine copula

Attafi, Zeineb; Ghorbel, Ahmed; Boujelbene, Younes - In: International Journal of Financial Markets and … 7 (2019) 2, pp. 163-190

Persistent link: https://www.econbiz.de/10012253560

Forecasting high-frequency risk measures

Banulescu, Denisa; Colletaz, Gilbert; Hurlin, Christophe; … - In: Journal of forecasting 35 (2016) 3, pp. 224-249

Persistent link: https://www.econbiz.de/10011580273

Systematic tail risk

Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - 2016

Persistent link: https://www.econbiz.de/10011581609

FRM: a financial risk meter based on penalizing tail events occurrence

Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - 2017

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization parameters over the 100 largest US publicly...

Persistent link: https://www.econbiz.de/10011598919

An evaluation and comparison of Value at Risk and Expected Shortfall

Burdorf, Tom; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 4, pp. 17-34

Persistent link: https://www.econbiz.de/10012055643

Modelling extreme risk of the financial index (J580) using the general Pareto distribution

Jakata, Owen; Chikobvu, Delson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10012018994

Optimal investment under VaR-Regulation and Minimum Insurance

Chen, An; Nguyen, Thai; Stadje, Mitja - In: Insurance / Mathematics & economics 79 (2018), pp. 194-209

Persistent link: https://www.econbiz.de/10011825449