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Dynamic semiparametric models for expected shortfall (and value-at-risk)

Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui - 2017

from statistical decision theory to overcome the problem of "elicitability" for ES by jointly modelling ES and VaR, and …

Persistent link: https://www.econbiz.de/10011688247

Forecasting financial crashes : a dynamic risk management approach

Gerlach, Jan-Christian; Zhao, Dongshuai; Sornette, Didier - 2020

Since 2009, stock markets have resided in a long bull market regime. Passive investment strategies have succeeded during this low-volatility growth period. From 2018 on, however, there was a transition into a more volatile market environment interspersed by corrections increasing in amplitude...

Persistent link: https://www.econbiz.de/10012419688

Modeling loss given default regressions

Li, Phillip; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of risk 23 (2020/2021) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10012500067

Time-adaptive probabilistic forecasts of electricity spot prices with application to risk management.

López Cabrera, Brenda; Schulz, Franziska - 2016

prices taking into account information on renewable energy production. While most literature focuses on point forecasting …

Persistent link: https://www.econbiz.de/10011538153

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

Brauchler, Ryan - 2012

estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …

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

Tales from tails : on the empirical distributions of forecasting errors and their implication to risk

Spiliotis, Evangelos; Nikolopoulos, Konstantinos; … - In: International journal of forecasting 35 (2019) 2, pp. 687-698

Persistent link: https://www.econbiz.de/10012300716

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

Quantitative methods in economics and finance

Kliestik, Tomas (ed.); Valaskova, Katarina (ed.); … - 2021

The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...

Persistent link: https://www.econbiz.de/10012586709

Backtesting expected shortfall and beyond

Deng, Kaihua; Qiu, Jie - In: Quantitative finance 21 (2021) 7, pp. 1109-1125

Persistent link: https://www.econbiz.de/10012588022

Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge

Lehdili, Noureddine; Givi, Arshia - In: Risk and decision analysis 7 (2018) 3/4, pp. 91-105

Persistent link: https://www.econbiz.de/10012174432

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