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Das IRB-Modell des Kreditrisikos im Vergleich zum Modell einer logarithmisch normalverteilten Verlustfunktion

Vetter, Michael (contributor); Cremers, Heinz (contributor) - 2008

capital requirements for banks. The New Accord called "International Convergence of Capital Measurement and Capital Standard …" provides in its first pillar for a finer measurement of credit risk. Banks that have received supervisory approval to use the …

Persistent link: https://www.econbiz.de/10003763761

Multivariate spectral backtests of forecast distributions under unknown dependencies

Balter, Janine; McNeil, Alexander J. - In: Risks : open access journal 12 (2024) 1, pp. 1-15

-desk value-at-risk (VaR) backtest as a special case. The spectral tests make use of realised probability integral transform … on VaR violation indicators. The new backtests are easy to implement with a reasonable running time; in a series of …

Persistent link: https://www.econbiz.de/10014480976

Measuring systemic risk using multivariate quantile-located ES models

Garcia-Jorcano, Laura; Sanchis-Marco, Lidia - In: Journal of financial econometrics 21 (2023) 1, pp. 1-72

Persistent link: https://www.econbiz.de/10013542847

Analysis and forecasting of risk in count processes

Homburg, Annika; Weiß, Christian H.; Frahm, Gabriel; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10012522289

Good risk measures, bad statistical assumptions, ugly risk forecasts

Michaelides, Michael; Poudyal, Niraj - In: The financial review : the official publication of the … 59 (2024) 2, pp. 519-543

Persistent link: https://www.econbiz.de/10014543997

Asymptotics of multivariate conditional risk measures for Gaussian risks

Ling, Chengxiu - In: Insurance / Mathematics & economics 86 (2019), pp. 205-215

Persistent link: https://www.econbiz.de/10012058863

Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets

Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607

Persistent link: https://www.econbiz.de/10013465725

Measuring systemic risk with a dynamic copula-based approach

Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863

Persistent link: https://www.econbiz.de/10012627102

Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR

Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80

Persistent link: https://www.econbiz.de/10011392904

Modeling dependence structure and forecasting portfolio value-at-risk with dynamic copulas

Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2014

Persistent link: https://www.econbiz.de/10010430003

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