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Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates

Puccetti, Giovanni; Wang, Bin; Wang, Ruodu - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 821-828

Persistent link: https://www.econbiz.de/10010227817

Value at risk estimation for heavy tailed distributions

Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125

Persistent link: https://www.econbiz.de/10010241908

Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage

Gefang, Deborah - In: International journal of forecasting 30 (2013) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10010243650

Anybody can do value at risk : a teaching study using parametric computation and Monte Carlo simulation

Cheung, Yun-hsing; Powell, Robert - In: Australasian accounting business and finance journal : AABF 6 (2012) 5, pp. 101-118

Persistent link: https://www.econbiz.de/10010244995

Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas

Weiß, Gregor; Supper, Hendrik - In: Journal of banking & finance 37 (2013) 9, pp. 3334-3350

Persistent link: https://www.econbiz.de/10010126429

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