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~person:"Ardia, David"
~person:"Pérez Amaral, Teodosio"
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Search: subject:"Value-at-risk"
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Risikomaß
47
Risk measure
47
Basel Accord
32
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23
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23
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22
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Ardia, David
Pérez Amaral, Teodosio
McAleer, Michael
193
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59
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58
Chang, Chia-Lin
51
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49
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33
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23
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ECONIS (ZBW)
47
RePEc
6
EconStor
2
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1
GARCH Models for Daily Stock Returns : Impact of Estimation Frequency on
Value-at-Risk
and Expected Shortfall Forecasts
Ardia, David
-
2020
returns for constituents of the S&P 500 index. We assess the implication for one-day ahead 95% and 99%
Value-at-Risk
(VaR …
Persistent link: https://www.econbiz.de/10012857089
Saved in:
2
Downside Risk Evaluation with the R Package GAS
Ardia, David
-
2019
prediction and the evaluation of downside risk. Emphasis is given to the two key financial downside risk measures:
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10012902645
Saved in:
3
Methods for Computing Numerical Standard Errors : Review and Application to
Value-at-Risk
Estimation
Ardia, David
-
2018
management where we assess the precision of the
Value–at–Risk
measure when the underlying risk model is estimated by simulation …
Persistent link: https://www.econbiz.de/10012936424
Saved in:
4
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
shifting the quantitative risk metrics system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The Basel Committee on …
Persistent link: https://www.econbiz.de/10011431395
Saved in:
5
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been …
Persistent link: https://www.econbiz.de/10010532611
Saved in:
6
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
Saved in:
7
A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis
Ardia, David
;
Gatarek, Lukasz
;
Hoogerheide, Lennart F.
-
2014
for multiple time series is particularly useful if one wants to assess
Value-at-Risk
(or Expected Shortfall) predictions …
Persistent link: https://www.econbiz.de/10010250513
Saved in:
8
Methods for computing numerical standard errors : review and application to
value-at-risk
estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
Saved in:
9
GFC-robust risk management under the Basel accord using extreme value methodologies
Jiménez-Martín, Juan-Ángel
;
McAleer, Michael
;
Pérez …
-
2013
Persistent link: https://www.econbiz.de/10009765824
Saved in:
10
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
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