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Typology for flight-to-quality episodes and downside risk measurement

Gubareva, Mariya; Borges, Maria Rosa - In: Applied economics 48 (2016) 10/12, pp. 835-853

Persistent link: https://www.econbiz.de/10011432728

Mitigating risk in a changing landscape

Kelly, Peter W. - In: Journal of securities operations & custody 3 (2010/11) 1, pp. 33-43

Persistent link: https://www.econbiz.de/10003992531

What happened to risk management during the 2008 - 09 financial crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009

Persistent link: https://www.econbiz.de/10003877129

Systemic risk

Hauptmann, Johannes; Zagst, Rudi - In: Quantitative financial risk management, (pp. 321-338). 2011

Persistent link: https://www.econbiz.de/10009301403

"Black swans" and the financial crisis

Marsh, Terry Alan; Pfleiderer, Paul - In: Review of Pacific Basin financial markets and policies 15 (2012) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10009574422

Forward-looking tail risk exposures at US Bank Holding Companies

Knaup, Martin; Wagner, Wolf - In: Journal of financial services research : JFSR 42 (2012) 1/2, pp. 35-54

Persistent link: https://www.econbiz.de/10009714851

On the evaluation of marginal expected shortfall

Caporin, Massimiliano; Santucci de Magistris, Paolo - In: Applied economics letters 19 (2012) 1/3, pp. 175-179

Persistent link: https://www.econbiz.de/10009412621

A comedy of errors : misguided policy, mis-sold mortages and more

Miller, Marcus; Zhang, Lei; Rastapana, Songklod - 2016

Persistent link: https://www.econbiz.de/10011550873

Fixed-income portfolio management in crisis period : expected tail loss (ETL) approach

Mili, Mehdi - 2012

The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...

Persistent link: https://www.econbiz.de/10009564251

Tail Risks and Systemic Risks for U.S. and Eurozone Financial Institutions in the Wake of the Global Financial Crisis

Straetmans, Stefan - 2012

This paper proposes and evaluates several market-based measures for US and eurozone individual bank tail risk and banking system risk. We apply statistical extreme value analysis to the tails of bank equity prices to estimate the likelihood of individual institutions financial distress as well...

Persistent link: https://www.econbiz.de/10013101500

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