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The determinants of CDS spreads : evidence from the model space

Pelster, Matthias; Vilsmeier, Johannes - In: Review of derivatives research 21 (2018) 1, pp. 63-118

Persistent link: https://www.econbiz.de/10012055732

Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - In: Journal of international financial markets, … 61 (2019), pp. 128-142

Persistent link: https://www.econbiz.de/10012128287

Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets

Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48

Persistent link: https://www.econbiz.de/10010520085

Tail risk measurement in crypto-asset markets

Ahelegbey, Daniel Felix; Giudici, Paolo; Mojtahedi, Fatemeh - In: International review of financial analysis 73 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012803601

Tail risk measurement In crypto-asset markets

Ahelegbey, Daniel Felix; Giudici, Paolo; Mojtahedi, Fatemeh - 2020

Persistent link: https://www.econbiz.de/10012321939

Are gold, USD, and Bitcoin hedge or safe haven against stock? : the implication for risk management

Sharma, Udayan; Karmakar, Madhusudan - In: Review of financial economics : RFE 41 (2023) 1, pp. 43-64

Persistent link: https://www.econbiz.de/10014278639

Do coherent risk measures identify assets risk profiles similarly? : evidence from international futures markets

Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael - In: Investment management and financial innovations 14 (2017) 3, pp. 361-380

Persistent link: https://www.econbiz.de/10011875432

Risk measures based on benchmark loss distributions

Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

Persistent link: https://www.econbiz.de/10011900226

Empirical tail risk management with model-based annealing random search

Fan, Qi; Tan, Ken Seng; Zhang, Jinggong - In: Insurance / Mathematics & economics 110 (2023), pp. 106-124

Persistent link: https://www.econbiz.de/10014282478

Forecasting systemic impact in financial networks

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - In: International journal of forecasting 30 (2014) 3, pp. 781-794

Persistent link: https://www.econbiz.de/10010515583