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Bouaddi, Mohammed; Larocque, Denis; Normandin, Michel - In: International review of economics & finance : IREF 38 (2015), pp. 393-409

Persistent link: https://www.econbiz.de/10011572388

Risk-adjusted performances of world equity indices

Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 706-721

Persistent link: https://www.econbiz.de/10011562564

Network tail risk estimation in the European banking system

Torri, Gabriele; Giacometti, Rosella; Tichý, Tomáš - In: Journal of economic dynamics & control 127 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012668977

Sharp asymptotics for large portfolio losses under extreme risks

Tang, Qihe; Tang, Zhaofeng; Yang, Yang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 710-722

Persistent link: https://www.econbiz.de/10012003644

Estimating systematic risk under extremely adverse market conditions

Oordt, Maarten R. C. van; Chen Zhou - In: Journal of financial econometrics 17 (2019) 3, pp. 432–461

Persistent link: https://www.econbiz.de/10012054463

The role of model risk in extreme value theory for capital adequacy

Kellner, Ralf; Rösch, Daniel; Scheule, Harald - In: Journal of risk 18 (2016) 6, pp. 39-70

Persistent link: https://www.econbiz.de/10011620651

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1997

Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled …

Persistent link: https://www.econbiz.de/10010533206

Assessing coherent value-at-risk and expected shortfall with extreme expectiles

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2015

Persistent link: https://www.econbiz.de/10011302290

Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory

Brauchler, Ryan - 2012

extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …The catastrophic failures of risk management systems in 2008 bring to the forefront the need for accurate and flexible … estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor …

Persistent link: https://www.econbiz.de/10013100621

Tail dependence and heavy tailedness in extreme risks

Ji, Liuyan; Tan, Ken Seng; Yang, Fan - In: Insurance / Mathematics & economics 99 (2021), pp. 282-293

Persistent link: https://www.econbiz.de/10012649222