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Predicting the risk of global portfolios considering the non-linear dependence structures

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economics Bulletin 32 (2012) 1, pp. 282-294

differences in the dependence structure of each set of markets. Further, the PCC were validated through backtesting of the …

Persistent link: https://www.econbiz.de/10009421762

Evaluating the accuracy of value-at-risk forecasts: New multilevel tests

Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International Journal of Forecasting 30 (2014) 2, pp. 206-216

We propose independence and conditional coverage tests which are aimed at evaluating the accuracy of Value-at-Risk (VaR) forecasts from the same model at different confidence levels. The proposed procedures are multilevel tests, i.e., joint tests of several quantiles corresponding to different...

Persistent link: https://www.econbiz.de/10010753460

Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives

Syuhada, Khreshna; Hakim, Arief; Suprijanto, Djoko - In: Energy economics 129 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014558988

A comparison of market risk measures from a twofold perspective : accurate and loss function

Muela, Sonia Benito; López-Martin, Carmen; … - In: ACRN journal of finance and risk perspectives 11 (2022), pp. 79-104

Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are...

Persistent link: https://www.econbiz.de/10014235034

Revisiting the accuracy of standard VaR methods for risk assessment : using the Copula-EVT multidimensional approach for stock markets in the MENA region

Chebbi, Ali; Hedhli, Amel - In: The quarterly review of economics and finance : journal … 84 (2022), pp. 430-445

Persistent link: https://www.econbiz.de/10013335886

Multilevel and tail risk management

Khalaf, Lynda; Leccadito, Arturo; Urga, Giovanni - In: Journal of financial econometrics 20 (2022) 5, pp. 839-874

Persistent link: https://www.econbiz.de/10013460029

Value-at-risk and the global financial crisis

Ha Tran Manh; Mai Ngoc Tran - In: The journal of risk model validation 17 (2023) 1, pp. 41-83

Persistent link: https://www.econbiz.de/10014485605

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

Non-Gaussian models for CoVaR estimation

Bianchi, Michele Leonardo; De Luca, Giovanni; … - In: International journal of forecasting 39 (2023) 1, pp. 391-404

Persistent link: https://www.econbiz.de/10014462788

Semi-nonparametric risk assessment with cryptocurrencies

Jiménez, Inés; Mora-Valencia, Andrés; Perote, Javier - In: Research in international business and finance 59 (2022), pp. 1-27

Persistent link: https://www.econbiz.de/10013410827