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

Tail risk driven by investment losses and exogenous shocks

Man, Xinyue; Tang, Qihe - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 712-737

Persistent link: https://www.econbiz.de/10015154571

Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery

Yong, Yaodi; Cheung, Ka Chun; Zhang, Yiying - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 738-766

Persistent link: https://www.econbiz.de/10015154573

Commodity market downturn : systemic risk and spillovers during left tail events

Gunay, Samet; Kirimhan, Destan; Cevik, Emrah Ismail - In: Journal of commodity markets : JCM 36 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015162626

Rethinking Enterprise Risk Management

Kıral, Halis (ed.) - 2024

Part 1: Introduction -- 1. Why Enterprise Risk Management Needs a Rethink -- Part II: The Zero Point of ERM: Risk, Uncertainty, and Risk Attitude -- 2. Conceptualizing Risk and Uncertainty in Decision-Making: A Historical Analysis -- 3. Risk Attitude: the CAPSTONE of the Enterprise Risk...

Persistent link: https://www.econbiz.de/10015162688

Mean-variance vs trend-risk portfolio selection

Neděla, David; Ortobelli Lozza, Sergio; Tichý, Tomáš - In: Review of managerial science : RMS 18 (2024) 7, pp. 2047-2078

Persistent link: https://www.econbiz.de/10015134059

Implementation of machine learning in 𝓁∞‑based sparse Sharpe ratio portfolio optimization : a case study on Indian stock market

Behera, Jyotirmayee; Kumar, Pankaj - In: Operational research : an international journal 24 (2024) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10015135777

Which user-friendly model is the best for Basel-III? : an emerging market study

Mozumder, Sharif; Abedin, Mohammad Zoynul; Lalon, Raad Mozib - In: Computational economics 64 (2024) 5, pp. 3049-3086

Persistent link: https://www.econbiz.de/10015144107

Improving quantile forecasts via realized double hysteretic GARCH model in stock markets

Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471

Persistent link: https://www.econbiz.de/10015144246

An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile

Candia Campano, Claudio; Herrera, Rodrigo - In: Journal of empirical finance 77 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014578542

Tail risk transmission from the United States to emerging stock Markets : empirical evidence from multivariate quantile analysis

Zhang, Yi; Zhou, Long; Wu, Baoxiu; Liu, Fang - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014580778

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