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Search: subject:"Value-at-risk"
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International Risk Management Conference <5, 2012, Rom>
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Seminar on Statistical and Computational Problems in Risk Management: VaR and Beyond VaR <2001, Rom>
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ECONIS (ZBW)
4,444
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1
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Dynamic robust portfolio selection under market distress
Jiang, Yifu
;
Olmo, Jose
;
Atwi, Majed
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014445636
Saved in:
3
Value-at-Risk
Qiu, Zhiguo
;
Lazar, Emese
;
Nakata, Keiichi
- In:
International review of financial analysis
92
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
Saved in:
4
Multivariate spectral backtests of forecast distributions under unknown dependencies
Balter, Janine
;
McNeil, Alexander J.
- In:
Risks : open access journal
12
(
2024
)
1
,
pp. 1-15
-desk
value-at-risk
(VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …
Persistent link: https://www.econbiz.de/10014480976
Saved in:
5
Testing the correct specification of a system of spatial dependence models for stock returns
Kutzker, Tim
;
Wied, Dominik
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 2083-2103
Persistent link: https://www.econbiz.de/10014520115
Saved in:
6
Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type
Value-at-Risk
model performance in Thailand's transport...
Danai Likitratcharoen
;
Lucksuda Suwannamalik
- In:
Risks : open access journal
12
(
2024
)
3
,
pp. 1-19
The
Value-at-Risk
(VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of …
Persistent link: https://www.econbiz.de/10014497424
Saved in:
7
Optimal reinsurance under the linear combination of risk measures in the presence of reinsurance loss limit
Xiong, Qian
;
Peng, Zuoxiang
;
Nadarajah, Saralees
- In:
Risks : open access journal
11
(
2023
)
7
,
pp. 1-26
Optimal reinsurance problems under the risk measures, such as
Value-at-Risk
(VaR) and Tail-
Value-at-Risk
(TVaR), have …
Persistent link: https://www.econbiz.de/10014340271
Saved in:
8
Addressing the economic and demographic complexity via a neural network approach : risk measures for reverse mortgages
Di Lorenzo, Emilia
;
Piscopo, Gabriella
;
Sibillo, Marilena
- In:
Computational management science
21
(
2024
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014442633
Saved in:
9
First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel
;
Nicolau, João
;
Rodrigues, Paulo M. M.
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467
Saved in:
10
Value-at-Risk
effectiveness : a high-frequency data approach with semi-heavy tails
Contreras-Valdez, Mario Ivan
;
Sahu, Sonal
; …
- In:
Risks : open access journal
12
(
2024
)
3
,
pp. 1-23
In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10014497426
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