Similar Search Results - EconBiz

Economic neutral position : how to best replicate not fully replicable liabilities?

Kunz, Andreas; Popp, Markus - In: Insurance / Mathematics & economics 96 (2021), pp. 53-67

Persistent link: https://www.econbiz.de/10012482749

Predictors of Excess Return in a Green Energy Equity Portfolio : Market Risk, Market Return, Value-at-Risk and or Expected Shortfall?

El-Chaarani, Hani - 2022

(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama–French Three …

Persistent link: https://www.econbiz.de/10013294393

Dynamic factor copula-based modeling for market risk optimization with an application to the real industry in China

Chen, Zhenlong; Zhou, Jialian; Hao, Xiaozhen - In: Journal of innovation & knowledge : JIK 8 (2023) 4, pp. 1-9

As finance returns to its fundamental purpose of serving the real economy, its connections with various industries are strengthening. Accurately depicting the interdependence among these industries and mitigating financial risks has become increasingly critical. The dependence among China's real...

Persistent link: https://www.econbiz.de/10014506777

Value-at-risk: the comparison of state-of-the-art models on varous assets

Kielak, Karol; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322235

Hedging the extreme risk of cryptocurrency

Dunbar, Kwamie; Owusu-Amoako, Johnson - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10014225746

Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis

Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24

Persistent link: https://www.econbiz.de/10010389432

Application of duration measure in quantifying the sensitivity of project returns to changes in discount rates

Yousefi, Vahidreza; Yakhchali, Siamak Haji; … - In: Administrative Sciences : open access journal 9 (2019) 1/13, pp. 1-14

been examined. To examine the effect of the changes in these factors, the Monte Carlo simulation has been used. The …

Persistent link: https://www.econbiz.de/10012126909

Comparing risk measures when aggregating market risk and credit risk using different copulas

Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136

Persistent link: https://www.econbiz.de/10011598393

Value-at-risk : theory and practice

Holton, Glyn A. - 2003

Persistent link: https://www.econbiz.de/10001748316

Marktrisiken : Portfoliotheorie und Risikomaße

Kremer, Jürgen - 2018

Persistent link: https://www.econbiz.de/10011772607

A service of the