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Risk management in the energy markets and Value-at-Risk modelling : a hybrid approach

Andriosopoulos, Kostas; Nomikos, Nikos K. - In: The European journal of finance 21 (2015) 7/9, pp. 548-574

Persistent link: https://www.econbiz.de/10011301233

Tail dependence in financial markets : a dynamic copula approach

Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14

in the computation of Value-at-Risk (VaR). Results show that copulas provide more sophisticated results in terms of the …

Persistent link: https://www.econbiz.de/10012127765

A generalized risk budgeting approach to portfolio construction

Haugh, Martin B.; Iyengar, Garud; Song, Irene - In: The journal of computational finance 21 (2017/2018) 2, pp. 29-60

Persistent link: https://www.econbiz.de/10011848310

Portfolio credit risk model with extremal dependence of defaults and random recovery

Jeon, Jong-June; Kim, Sunggon; Lee, Yonghee - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10011777675

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

Hands-On Value-at-Risk and expected shortfall : a practical primer

Auer, Martin - 2018

1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 … Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi …This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk …

Persistent link: https://www.econbiz.de/10013341689

Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors

Teng, Huei-Wen - In: Computational economics 62 (2023) 3, pp. 1125-1154

Persistent link: https://www.econbiz.de/10014382887

Markov Chain Monte Carlo methods for estimating systemic risk allocations

Koike, Takaaki; Hofert, Marius - In: Risks : open access journal 8 (2020) 1/6, pp. 1-33

In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov … Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure … intersection of linear constraints, this class of allocations covers, for example, conditional Value-at-Risk (CoVaR), conditional …

Persistent link: https://www.econbiz.de/10012204312

Estimation risk for value-at-risk and expected shortfall

Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47

Persistent link: https://www.econbiz.de/10011847463

Insurance risk capital and risk aggregation : bivariate copula approach

Mejdoub, Hanène; Arab, Mounira Ben - In: International journal of computational economics and … 9 (2019) 3, pp. 202-218

Persistent link: https://www.econbiz.de/10012115324