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A simple and focused backtest of value at risk

Krämer, Walter; Wied, Dominik - In: Economics letters 137 (2015), pp. 29-31

Persistent link: https://www.econbiz.de/10011436196

What derives the bond portfolio value-at-risk : information roles of macroeconomic and financial stress factors

Tu, Anthony H.; Chen, Cathy Yi-Hsuan - 2016

This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...

Persistent link: https://www.econbiz.de/10011437907

What is the best risk measure in practice? : a comparsion of standard measures

Emmer, Susanne; Kratz, Marie; Tasche, Dirk - In: Journal of risk 18 (2015/2016) 2, pp. 31-60

Persistent link: https://www.econbiz.de/10011438976

Risk model backtesting

Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162

Persistent link: https://www.econbiz.de/10011483358

Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach

Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446

Persistent link: https://www.econbiz.de/10011504612

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

Measuring value at risk on emerging stock markets : empirical evidence from Serbian stock exchange

Miletić, Mirjana; Miletić, Siniša - In: Facta Universitatis / Series economics and organization … 10 (2013) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10010458744

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

Methoden zu Quantifizierung von Marktpreisrisiken : ein empirischer Vergleich

Auer, Michael - 2002

Persistent link: https://www.econbiz.de/10001681672

Tail risk of electricity futures

Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012518716