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Extreme Value Theory im Risikomanagement
Zeder, Markus - 2007 - 1. Aufl.
Persistent link: https://www.econbiz.de/10002850947
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Weighted approximations of tail copula processes with application to testing the multivariate extreme value condition
Einmahl, John H. J. (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002240253
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Statistical inference for tail-based cumulative residual entropy
Sun, Hongfang; Chen, Yu; Hu, Taizhong - In: Insurance / Mathematics & economics 103 (2022), pp. 66-95
Persistent link: https://www.econbiz.de/10013198327
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Extreme linkages between foreign exchange and general financial markets
Wu, Chih-Chiang; Chen, Wei Peng; Korsakul, Nattawadee - In: Pacific-Basin finance journal 65 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10013209544
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Portfolio Value-at-Risk Bounds Using Extreme Value Theory
Imed, Gammoudi - 2010
The aim of this paper is to apply a semi-parametric methodology developed by Mesfioui and Quessy (2005) to derive the Value-at-Risk bounds for portfolios of possibly dependent financial assets when the marginal return distribution is in the domain of attraction of the generalized extreme value...
Persistent link: https://www.econbiz.de/10013146193
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Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: Quantitative finance 21 (2021) 11, pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
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Forecasting based on decomposed financial return series : a wavelet analysis
Berger, Theo - In: Journal of forecasting 35 (2016) 5, pp. 419-433
Persistent link: https://www.econbiz.de/10011580976
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Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: International journal of forecasting 34 (2018) 3, pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
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Risk correlation based on time-varying copula function and extreme value theory
Ji, Xinlong; Zhou, Lu - In: Theoretical economics letters 7 (2017) 7, pp. 2213-2229
Persistent link: https://www.econbiz.de/10011786009
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Multivariate Modellierung operationeller Risiken in Kreditinstituten
Bayer, Verena - 2012
Operationelle Risiken betreffen nahezu jede Geschäftstätigkeit von Banken. Sie verfügen über ein hohes Schadenspotential und stellen eine große Herausforderung für das Risikomanagement der Banken dar. Verena Bayer untersucht Ansätze zur Quantifizierung operationeller Risiken und der...
Persistent link: https://www.econbiz.de/10014016438