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Bayesian backtesting for counterparty risk models

Zelvyte, Mante; Arnsdorf, Matthias - In: The journal of risk model validation 17 (2023) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10014485763

Measuring systemic risk via GAS models and extreme value theory : revisiting the 2007 financial crisis

Gavronski, Pedro Gerhardt; Ziegelmann, Flavio A. - In: Finance research letters 38 (2021), pp. 1-8

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The two-sided Weibull distribution and forecasting financial tail risk

Chen, Qian; Gerlach, Richard H. - In: International journal of forecasting 29 (2013) 4, pp. 541-547

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Why does skewness and the fat-tail effect influence value-at-risk estimates? : evidence from alternative capital markets

Su, Jung-bin; Lee, Ming-chih; Chiu, Chien-Liang - In: International review of economics & finance : IREF 31 (2014), pp. 59-85

Persistent link: https://www.econbiz.de/10010490442

Applied quantitative finance

Härdle, Wolfgang (ed.); Chen, Cathy Yi-Hsuan (ed.); … - 2017 - Third edition

Persistent link: https://www.econbiz.de/10011607343

Impact of the ban on uncovered sCDS trade on the interdependencies between the CDS market and other sectors of financial markets : the case of safe and developed versus risky and d...

Kliber, Agata - In: Comparative economic research : Central and Eastern Europe 19 (2016) 1, pp. 77-99

The aim of the article is to verify the impact of the ban on uncovered sCDS trade in Europe on the interdependencies between the sCDS market and other sectors of financial markets. We analyse two European markets: the safe and developed Swedish market, and the risky and developing Hungarian one....

Persistent link: https://www.econbiz.de/10011869394

Impact of the ban on uncovered SCDS trade on the interdependencies between the CDS market and other sectors of financial markets : the case of safe and developed versus risky and d...

Kliber, Agata - In: Comparative economic research : Central and Eastern Europe 19 (2016) 1, pp. 75-97

Persistent link: https://www.econbiz.de/10011598086

Volatility, intermediaries, and exchange rates

Fang, Xiang; Liu, Yang - In: Journal of financial economics 141 (2021) 1, pp. 217-233

Persistent link: https://www.econbiz.de/10012872624

Downside and upside risk spillovers between exchange rates and stock prices

Reboredo, Juan Carlos; Rivera-Castro, Miguel A.; … - In: Journal of banking & finance 62 (2016), pp. 76-96

Persistent link: https://www.econbiz.de/10011634069

Does market risk predict credit risk? : an analysis of firm risk sensitivity, evidence from South Korea

Lim, Hyoungjoo; Mali, Dafydd - In: Asia-Pacific journal of accounting & economics : APJAE 25 (2018) 1/2, pp. 235-252

Persistent link: https://www.econbiz.de/10011986366