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Unbiased estimation of risk

Pitera, Marcin; Schmidt, Thorsten - In: Journal of banking & finance 91 (2018), pp. 133-145

Persistent link: https://www.econbiz.de/10011963654

Multivariate geometric expectiles

Herrmann, Klaus J.; Hofert, Marius; Mailhot, Mélina - In: Scandinavian actuarial journal (2018) 7, pp. 629-659

Persistent link: https://www.econbiz.de/10011939715

WTI crude oil option implied VaR and CVaR : an empirical application

Barone-Adesi, Giovanni; Legnazzi, Chiara; Sala, Carlo - 2016

Using option market data we derive naturally forward-looking, nonparametric and model-free risk estimates, three desired characteristics hardly obtainable using historical returns. The option-implied measures are only based on the first derivative of the option price with respect to the strike...

Persistent link: https://www.econbiz.de/10011619056

Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice

Wehn, Carsten - In: The journal of risk model validation 12 (2018) 4, pp. 17-39

Persistent link: https://www.econbiz.de/10011992015

Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution

Taylor, James W. - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 121-133

Persistent link: https://www.econbiz.de/10012176554

Backtesting Value at Risk and Expected Shortfall

Roccioletti, Simona - 2016 - 1st ed. 2016

Risk measures and their properties -- Elicitability -- Backtesting (VaR and ES) -- Empirical Analysis -- MATLAB code. … particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she …. Contents Risk measures and their properties Elicitability Backtesting (VaR and ES) Empirical Analysis MATLAB code Target Groups …

Persistent link: https://www.econbiz.de/10014018353

Deep quantile and deep composite triplet regression

Fissler, Tobias; Merz, Michael; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 109 (2023), pp. 94-112

Persistent link: https://www.econbiz.de/10014282471

Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment

Zhang, Feipeng; Xu, Yixiong; Fan, Caiyun - In: International review of financial analysis 90 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014469910

Forecasting expected shortfall : should we use a multivariate model for stock market factors?

Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331

Persistent link: https://www.econbiz.de/10014462782

Performance measurement with expectiles

Rossello, Damiano - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 343-374

Persistent link: https://www.econbiz.de/10013380572