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Evaluating the accuracy of tail risk forecasts for systemic risk measurement
Brownlees, Christian; Cavaliere, Giuseppe; Monti, Alice - In: Annals of financial economics 13 (2018) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10011931111
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Global systemic risk measures and their forecasting power for systemic events
Grundke, Peter; Tuchscherer, Michael - In: The European journal of finance 25 (2019) 3, pp. 205-233
Persistent link: https://www.econbiz.de/10012206970
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Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha - In: Journal of risk management in financial institutions 12 (2019) 3, pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
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A finite mixture modelling perspective for combining experts’ opinions with an application to quantile-based risk measures
Makariou, Desponia; Barrieu, Pauline; Tzougas, George - In: Risks : open access journal 9 (2021) 6, pp. 1-25
models are employed for numerically computing quantile-based risk measures in a collective decision-making context. …
Persistent link: https://www.econbiz.de/10012598418
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Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
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Three essays on improving financial risk estimation, forecasting and backtesting
Bayer, Sebastian - 2018
Persistent link: https://www.econbiz.de/10012174014
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A simplifed model for measuring longevity risk for life insurance products
Atance, David; Navarro Arribas, Eliseo - In: Financial innovation : FIN 10 (2024), pp. 1-30
the model to calculate the Value-at-Risk and Conditional-Value-at-Risk of an insurance product testing the accuracy and …
Persistent link: https://www.econbiz.de/10014535406
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An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile
Candia Campano, Claudio; Herrera, Rodrigo - In: Journal of empirical finance 77 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014578542
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Forecasting Expected Shortfall and Value-at-Risk with the FZ Loss and Realized Variance Measures
Chou, Ray Y. - 2020
Value at risk (VaR) and expected shortfall (ES) are two of the most widely used risk measures in economics and finance … models for the two risk measures. The semiparametric estimations rely on using a class of consistent loss functions recently …
Persistent link: https://www.econbiz.de/10012847881
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Multinomial VAR Backtests : A Simple Implicit Approach to Backtesting Expected Shortfall
Kratz, Marie - 2017
expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that backtesting … test of value-at-risk (VaR) exceptions at different levels, an idea supported by an approximation of ES in terms of …
Persistent link: https://www.econbiz.de/10012965579