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News-Enhanced Market Risk Management
Arbex-Valle, Cristiano - 2013
We develop a news-enhanced risk model, which utilizes news sentiments to optimize the valuation of market risk. In particular, our model takes into account news sentiment scores, which value news of various sources according to their relevance for particular companies. A GJR-GARCHX model is...
Persistent link: https://www.econbiz.de/10013076443
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Value at Risk zur Marktrisikosteuerung und Eigenkapitalallokation
Johanning, Lutz - 1998
Persistent link: https://www.econbiz.de/10004372191
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Credit risk und Value-at-Risk-Alternativen : Herausforderungen für das risk management
Oehler, Andreas (contributor) - 1998
Persistent link: https://www.econbiz.de/10004139419
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Value at risk : ein Ansatz zum Management von Marktrisiken in Banken
Jendruschewitz, Boris - 1999 - 2., überarb. Aufl.
Persistent link: https://www.econbiz.de/10004550510
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Value at risk : kritische Betrachtung des Konzepts ; Möglichkeiten der Übertragung auf den Nichtfinanzbereich
Diggelmann, Patrick B. - 1999
Persistent link: https://www.econbiz.de/10004552387
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The value at risk reference : key issues in the implementation of market risk
Danielsson, Jon - 2007
Persistent link: https://www.econbiz.de/10004897665
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Risikokapitalallokation und Marktpreisrisikosteuerung mit Value-at-Risk-Limiten
Straßberger, Mario - 2002 - 1. Aufl.
Persistent link: https://www.econbiz.de/10004860846
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Von der Markt- zur Kreditrisikomessung
Huschens, Stefan - 2000
Persistent link: https://www.econbiz.de/10004802561
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How well do risk measurement models estimate VaR during good and bad times? Evidence from the Korean stock market
Dockery, Everton; Efentakis, Miltiadis - In: International Journal of Financial Markets and Derivatives 3 (2013) 2, pp. 114-136
VaR risk measure during good and bad times. The soundness of model performance in the accuracy of estimated VaRs are …
Persistent link: https://www.econbiz.de/10010817022