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Value-at-Risk and expected shortfall for rare events

Mittnik, Stefan (contributor); Yener, Tina (contributor) - 2008

-shock models used in reliability theory. An obvious implication of this finding pertains to the analysis of operational risk. The … allowing for less than perfect correlation, may not necessarily be attainable. -- Operational Risk ; Latent Variables …

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Dependency modeling and value-at-risk forecasts for financial portfolios

Berger, Theo - 2013

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Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management

So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167

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Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices

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Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks

Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: International economics : a journal published by CEPII … 156 (2018), pp. 175-192

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Market risk modeling with option-implied covariances and score-driven dynamics

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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective

Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251

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Correlation under stress in normal variance mixture models

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Measuring the diversification of a loan portfolio

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Reputation risk contagion

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