Search Results - subject:"Expected Shortfall"

Volatility and models based on the extreme value theory for gold returns

Krężołek, Dominik; Piontek, Krzysztof - In: Statistics in transition : an international journal of … 25 (2024) 2, pp. 1-22

In this study, we use daily gold log-returns to analyse the quality of forecasting expected shortfalls (ES) using volatility and models based on the extreme value theory (EVT). ES forecasts were calculated for conditional APARCH models formed on the entire distribution of returns, as well as for...

Persistent link: https://www.econbiz.de/10015125518

Estimating Value at Risk and expected shortfall : a Kalman filter approach

Lecq, Max van der; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014567063

Optimal performance of a tontine overlay subject to withdrawal constraints

Forsyth, Peter; Vetzal, Kenneth R.; Westmacott, Graham - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 94-128

Persistent link: https://www.econbiz.de/10014485602

Bounding the Impact of Hazard Interdependence on Climate Risk

Hain, Linda Isabella; Kölbel, Julian; Leippold, Markus - 2023

those hazards. This paper establishes bounds for the impact of interdependence on the Expected Shortfall for a portfolio of … value theory approach of Cirillo and Taleb (2016) to calculate the Expected Shortfall. We find that assuming perfect … dependence instead of independence increases the Expected Shortfall by 3.6% to 66.5% for a portfolio with equally weighted …

Persistent link: https://www.econbiz.de/10014355193

Backtesting value-at-risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - In: Journal of financial econometrics 21 (2023) 2, pp. 528-568

Persistent link: https://www.econbiz.de/10014314760

Systemic risk : a comparative study between public and private banks

Mselmi, Aymen; Mahmoud, Imen - In: International journal of economics and financial issues … 13 (2023) 3, pp. 117-125

Persistent link: https://www.econbiz.de/10014288652

An elementary proof of the dual representation of expected shortfall

Herdegen, Martin; Munari, Cosimo-Andrea - In: Mathematics and financial economics 17 (2023) 4, pp. 655-662

Persistent link: https://www.econbiz.de/10014448070

The quantum harmonic oscillator expected shortfall model

Markovic, Vladimir M.; Radivojevic, Nikola; Ivanovic, … - In: Estudios de economía 50 (2023) 2, pp. 233-261

This paper presents a new Expected Shortfall (ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to …

Persistent link: https://www.econbiz.de/10014450737

Some optimisation problems in insurance with a terminal distribution constraint

Colaneri, Katia; Eisenberg, Julia; Salterini, Benedetta - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 655-678

Persistent link: https://www.econbiz.de/10014383890

Stylized facts, volatility dynamics and risk measures of cryptocurrencies

Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of business economics and management 24 (2023) 3, pp. 527-550

. Sensitivity analysis and measures of Value-at-Risk (VaR) and Expected Shortfall (ES) show the amount of losses investors can …

Persistent link: https://www.econbiz.de/10014420375