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In search of robust methods for multi-currency portfolio construction by value at risk
Tang, Mei-Ling; Do, Trung K. - In: Asia-Pacific financial markets 26 (2019) 1, pp. 107-126
Persistent link: https://www.econbiz.de/10012308050
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Time-series momentum : a Monte-Carlo approach
Cheng, Enoch; Struck, Clemens - 2019
This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …
Persistent link: https://www.econbiz.de/10011990919
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Estimation of risk contributions with MCMC
Koike, Takaaki; Minami, Mihoko - In: Quantitative finance 19 (2019) 9, pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
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Calculating capital charges for sector concentration risk
Kurtz, Cornelius; Lütkebohmert-Holtz, Eva; Sester, Julian - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 35-67
Persistent link: https://www.econbiz.de/10012041800
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Applying three VaR approaches in measuring market risk of stock portfolio : the case study of VN-30 stock basket in HOSE
Nguyen Quang Thinh; Vo Thi Quy - In: Journal of economic development 24 (2017) 2, pp. 90-113
Persistent link: https://www.econbiz.de/10011804846
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VaR model for managing market risk of portfolio
Pribadi, Firman; Surwanti, Arni; Shih, Wen-Chung - In: Macroeconomic risk and growth in the Southeast Asian …, (pp. 165-172). 2023
Persistent link: https://www.econbiz.de/10014462381
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Tail dependence in financial markets : a dynamic copula approach
Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14
in the computation of Value-at-Risk (VaR). Results show that copulas provide more sophisticated results in terms of the …
Persistent link: https://www.econbiz.de/10012127765
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A probability metrics approach to financial risk measures
Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2011
Persistent link: https://www.econbiz.de/10008824237
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Liquidity might come at cost : the role of heterogeneous preferences
Hauser, Shmuel; Kedar-Levy, Haim - In: Journal of financial markets 39 (2018), pp. 1-23
Persistent link: https://www.econbiz.de/10012001870
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Robust measurement of (heavy-tailed) risks : theory and implementation
Schneider, Judith Christiane; Schweizer, Nikolaus - In: Journal of economic dynamics & control 61 (2015), pp. 152-182
Persistent link: https://www.econbiz.de/10011589518