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Frontiers in VaR forecasting and backtesting

Nieto, Maria Rosa; Ruiz, Esther - In: International journal of forecasting 32 (2016) 2, pp. 474-501

Persistent link: https://www.econbiz.de/10011597163

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601

VaR performance during the subprime and sovereign debt crises : an application to emerging markets

Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: Emerging markets review 20 (2014), pp. 23-41

Persistent link: https://www.econbiz.de/10010419480

Value at risk (VaR) analysis for fat tails and long memory in returns

Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230

Persistent link: https://www.econbiz.de/10011684346

A review of individual and systemic risk measures in terms of applicability for banking regulations

Sum, Katarzyna - In: Contemporary economics 10 (2016) 1, pp. 71-82

the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … regulators include compensating for the drawbacks of the Value at Risk (VaR) and expected shortfall risk models, resolving the … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …

Persistent link: https://www.econbiz.de/10011452984

Does the tail risk index matter in forecasting downside risk?

Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3451-3466

Persistent link: https://www.econbiz.de/10014327761

Forecasting VaR models under different volatility processes and distributions of return innovations

Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531

Persistent link: https://www.econbiz.de/10011282095

Bekiros, Stelios; Loukeris, Nikolaos; Eleftheriadis, … - In: Computational economics 53 (2019) 2, pp. 783-816

Persistent link: https://www.econbiz.de/10012134868

Risk concentration and the mean-expected shortfall criterion

Han, Xia; Wang, Bin; Wang, Ruodu; Wu, Qinyu - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 819-846

Persistent link: https://www.econbiz.de/10014565286

Risk models-at-risk

Boucher, Christophe; Daníelsson, Jón; Kouontchou, … - In: Journal of banking & finance 44 (2014), pp. 72-92

Persistent link: https://www.econbiz.de/10010410376