Tail risk dynamics of banks with score-driven extreme value models
Fernanda Fuentes, Rodrigo Herrera, Adam Clements
| Year of publication: |
2025
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| Authors: | Fuentes, Fernanda ; Herrera, Rodrigo ; Clements, Adam |
| Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 81.2025, Art.-No. 101593, p. 1-13
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| Subject: | Banks | Expected shortfall | Extreme value theory | Score-driven models | Tail risk | Value at Risk | Risikomaß | Risk measure | Bankrisiko | Bank risk | Ausreißer | Outliers | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Bank |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2025.101593 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015405419