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Extreme risk, value-at-risk and expected shortfall in the gold market

Chinhamu, Knowledge; Huang, Chun-Kai; Huang, Chun-Sung; … - In: International business and economics research journal 14 (2015) 1, pp. 107-122

Persistent link: https://www.econbiz.de/10010529381

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

Sovereign bond-backed securities : a VAR-for-VaR and Marginal Expected Shortfall assessment

Sola Perea, Maite de; Dunne, Peter G.; Puhl, Martin; … - 2018

Persistent link: https://www.econbiz.de/10012182320

Assessing asset-liability risk with neural networks

Cheridito, Patrick; Ery, John; Wüthrich, Mario V. - In: Risks : open access journal 8 (2020) 1/16, pp. 1-17

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio...

Persistent link: https://www.econbiz.de/10012203982

Asymmetric jump beta estimation with implications for portfolio risk management

Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - In: International review of economics & finance : IREF 62 (2019), pp. 20-40

Persistent link: https://www.econbiz.de/10012205461

Value at risk models in Indian markets : a predictive ability evaluation study

Goel, Kushagra; Oswal, Sunny - In: Theoretical economics letters 9 (2019) 8, pp. 2824-2838

Persistent link: https://www.econbiz.de/10012214623

Optimization of Value-at-Risk : computational aspects of MIP formulations

Pavlikov, Konstantin; Veremyev, Alexander; Pasiliao, … - In: Journal of the Operational Research Society 69 (2018) 5, pp. 676-690

Persistent link: https://www.econbiz.de/10012225846

Sovereign bond-backed securities : a VAR-for-VaR and marginal expected shortfall assessment

Sola Perea, Maite de; Dunne, Peter G.; Puhl, Martin; … - In: Journal of empirical finance 53 (2019), pp. 33-52

Persistent link: https://www.econbiz.de/10012171680

The construction of an investment portfolio using stochastic programming

Kabašinskas, Audrius; Kadikinaitė, Lina - In: Journal of sustainable finance & investment 6 (2016) 3, pp. 151-160

Persistent link: https://www.econbiz.de/10011722990

Performance analysis of portfolio optimisation strategies : evidence from the exchange market

Narsoo, Jason - In: International journal of economics and finance 9 (2017) 6, pp. 124-132

Persistent link: https://www.econbiz.de/10011675890