Similar Search Results - EconBiz

Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis

Vatamidou, Eleni; Adan, Ivo; Vlasiou, Maria; Zwart, Bert - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 366-378

Persistent link: https://www.econbiz.de/10010195917

Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors

Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and …. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …

Persistent link: https://www.econbiz.de/10011545172

Insights to systematic risk and diversification across a joint probability distribution

Choo, Weihao; De Jong, Piet - In: Insurance / Mathematics & economics 67 (2016), pp. 142-150

Persistent link: https://www.econbiz.de/10011457218

Nonparametric tail risk, stock returns and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016

Persistent link: https://www.econbiz.de/10011458735

Value at risk measuring and extreme value theory : evidence from Montenegro

Cerovic Smolovic, Julija - In: Facta Universitatis / Series economics and organization … 11 (2014) 2, pp. 175-189

Persistent link: https://www.econbiz.de/10011508680

Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz

Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134

Persistent link: https://www.econbiz.de/10011556804

Outliers, GARCH-type models and risk measures : a comparison of several approaches

Grané, Aurea; Almeida, Helena Tenório Veiga de - In: Journal of empirical finance 26 (2014), pp. 26-40

Persistent link: https://www.econbiz.de/10010472010

Unexpected tails in risk measurement : some international evidence

Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493

Persistent link: https://www.econbiz.de/10010404698

On some properties of two vector-valued VAR and CTE multivariate risk measures for Archimedean copulas

Hürlimann, Werner - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 613-633

Persistent link: https://www.econbiz.de/10010407943

Semiparametric estimation of multi-asset portfolio tail risk

Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408

Persistent link: https://www.econbiz.de/10010508674

A service of the