Search Results - subject:"Shortfall"

Extreme value inference for heterogeneous heavy-tailed data : a derandomization theory

Daouia, Abdelaati; Hachem, Joseph; Stupfler, Gilles - 2026

Persistent link: https://www.econbiz.de/10015625395

The relevance of expected shortfall models in different time window sizes

Fukui, Marcelo; Basso, Leonardo Fernando Cruz - In: International Journal of Financial Studies : open … 14 (2026) 2, pp. 1-19

to measure these risks. The financial market uses two risk measures: Value at Risk (VaR) and Expected Shortfall (ES … Brazilian Real exceeded the VaR limits and even reached the Expected Shortfall risk zone. Then, a different analysis was …, the exchange rate volatility of the Brazilian Real reached the Exchange Shortfall risk zone in a different way compared to …

Persistent link: https://www.econbiz.de/10015643139

Forecasting value at risk and expected shortfall in equity markets of high-income and Latin American countries

Liza, Fiorela; Rodriguez, Gabriel; Arellano Ataurima, Miguel - 2026

Persistent link: https://www.econbiz.de/10015638652

When MIDAS meets LASSO : the power of low-frequency variables in forecasting Value-at-Risk and expected shortfall

Luo, Yi; Xue, Xiaohan; Izzeldin, Marwan - In: Journal of financial econometrics 23 (2025) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10015339158

Expected shortfall regression for high-dimensional additive models

Honda, Toshio; Peng, Po-Hsiang - 2025

Persistent link: https://www.econbiz.de/10015196326

Central bank announcements and monitoring portfolio risks

Bui, Huynh Tuan Duy; Herwartz, Helmut; Wang, Shu - In: International review of economics & finance : IREF 103 (2025), pp. 1-24

Persistent link: https://www.econbiz.de/10015482544

Survival analysis for credit risk : a dynamic approach for Basel IRB compliance

Dala, Fernando L.; Esquível, Manuel L.; Gaspar, Raquel M. - In: Risks : open access journal 13 (2025) 8, pp. 1-22

's loss process, we show how to empirically estimate key risk measures-such as Value at Risk (VaR) and Expected Shortfall (ES …

Persistent link: https://www.econbiz.de/10015448887

Crisis-proofing heterogeneous banks

Lucchetta, Marcella - 2025

Persistent link: https://www.econbiz.de/10015464307

The origin of financial instability and systemic risk : do bank business models matter?

Ayadi, Rym; Bongini, Paola; Casu, Barbara; Cucinelli, … - In: Journal of financial stability 78 (2025), pp. 1-22

Persistent link: https://www.econbiz.de/10015432124

New bounds for tail risk measures

Carnero, M. Angeles; León, Ángel; Ñíguez, Trino-Manuel - In: Finance research letters 75 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015408528