Search Results - subject:"Value‐at‐Risk"

2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models

Tomlinson, Matthew F.; Greenwood, David; … - In: International journal of forecasting 40 (2024) 1, pp. 324-347

Persistent link: https://www.econbiz.de/10014450274

Selling options to beat the market : further empirical evidence

Balbás de la Corte, Alejandro; Serna, Gregorio - In: Research in international business and finance 67 (2024) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014451533

Transmuted distortion functions for measuring risks

Alkasasbeh, Muna; Lee, Carl; Famoye, Felix - In: Risks : open access journal 12 (2024) 10, pp. 1-17

This paper introduces a new family of distortion functions for measuring risks, developed using transmutation techniques. We identify the parameter spaces where the proposed distortions exhibit concavity. Considering that the choice of distortion parameters can be influenced by political factors...

Persistent link: https://www.econbiz.de/10015130324

Risk sharing under heterogeneous beliefs without convexity

Liebrich, Felix-Benedikt - In: Finance and stochastics 28 (2024) 4, pp. 999-1033

Persistent link: https://www.econbiz.de/10015130543

Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2024

Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version …

Persistent link: https://www.econbiz.de/10015133653

A unified theory of extreme Expected Shortfall inference

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024

Persistent link: https://www.econbiz.de/10015097279

VIX-managed portfolios

Boz̆ović, Milos̆ - In: International review of financial analysis 95 (2024) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10015147883

Distortion risk measures : prudence, coherence, and the expected shortfall

Amarante, Massimiliano; Liebrich, Felix-Benedikt - In: Mathematical finance : an international journal of … 34 (2024) 4, pp. 1291-1327

Persistent link: https://www.econbiz.de/10015149387

A basic asymptotic test for value-at-risk subadditivity

Hofert, Marius - In: Risks : open access journal 12 (2024) 12, pp. 1-12

An asymptotic hypothesis test for value-at-risk subadditivity is introduced and studied. The test is derived based on … an equivalent formulation of the value-at-risk subadditivity inequality in terms of the distribution of the underlying … dependence structures, strength of dependence, marginal distributions, sample sizes, number of risks and value-at-risk confidence …

Persistent link: https://www.econbiz.de/10015327750

A sequential importance sampling for estimating multi-period tail risk

Seo, Ye-Ji; Kim, Sunggon - In: Risks : open access journal 12 (2024) 12, pp. 1-22

value-at-risk (VaR) and expected shortfall (ES). After fitting a volatility model to the past history of returns and …

Persistent link: https://www.econbiz.de/10015328727