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Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy

Caillault, Cyril; Guégan, Dominique - In: Frontiers in Finance and Economics 6 (2009) 1, pp. 26-50

-Switching models, the empirical histogram and the dynamic copulas. We discuss the choice of the best method with respect to the policy …

Persistent link: https://www.econbiz.de/10004998296

Modelling aggregate risk of the South African banking industry : an application to Pillar II economic capital

Khoza, Dingaan Jack; Muteba Mwamba, John - In: African finance journal 20 (2018) 1, pp. 39-65

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Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models

Lauenstein, Philipp; Walther, Thomas - In: International journal of financial engineering and risk … 2 (2016) 3, pp. 172-199

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

Kielak, Karol; Ślepaczuk, Robert - 2020

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Global risk evolution and diversification : a Copula-DCC-GARCH model approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550

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Portfolio optimization for inventory financing : copula-based approaches

Zhi, Bangdong; Wang, Xiaojun; Xu, Fangming - In: Computers & operations research : and their … 136 (2021), pp. 1-11

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Single-commodity versus joint hedging in cattle feeding cycle : Is Joint hedging always essential?

Fei, Chengcheng J.; Vedenov, Dmitry V.; Stevens, Reid B.; … - In: Journal of agricultural and resource economics : JARE ; … 46 (2021) 3, pp. 464-478

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Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach

Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28

The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

Persistent link: https://www.econbiz.de/10013380409

Volatility concepts and risk management tools

Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2015

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The snp-dcc model: a new methodology for risk management and forecasting

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