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~person:"Dijk, Herman K. van"
~person:"Pérez Amaral, Teodosio"
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Search: subject:"Value at Risk"
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Dijk, Herman K. van
Pérez Amaral, Teodosio
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193
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59
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ECONIS (ZBW)
43
RePEc
8
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1
Partially Censored Posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
-
2019
introduced to further decrease the numerical standard errors of the
Value-at-Risk
and Expected Shortfall estimators. The third …
Persistent link: https://www.econbiz.de/10012214294
Saved in:
2
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
3
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:
4
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:
5
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
-
2019
introduced to further decrease the numerical standard errors of the
Value-at-Risk
and Expected Shortfall estimators. The third …
Persistent link: https://www.econbiz.de/10012057160
Saved in:
6
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
7
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
Saved in:
8
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:
9
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
10
Has the Basel accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2013
Persistent link: https://www.econbiz.de/10009724104
Saved in:
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