Search Results - subject:"Value at Risk"

Dependency between risks and the insurer's economic capital : a copula-based GARCH model

Shim, Jeungbo; Lee, Seung-Hwan - In: Asia-Pacific journal of risk and insurance : APJRI 11 (2017) 1, pp. 1-29

The case of "less is more" : modelling risk-preference with expected downside risk

Ormos, Mihály; Timotity, Dusán - In: The B.E. journal of theoretical economics 17 (2017) 2, pp. 1-14

Robust estimation of value-at-risk through distribution-free and parametric approaches using the joint severity and frequency model : applications in financial, actuarial, and natu...

Guharay, Sabyasachi; Chang, KC; Xu, Jie - In: Risks : open access journal 5 (2017) 3, pp. 1-29

Value-at-Risk (VaR) is a well-accepted risk metric in modern quantitative risk management (QRM). The classical Monte …

A semiparametric nonlinear quantile regression model for financial returns

Avdulaj, Krenar; Barunik, Jozef - In: Studies in nonlinear dynamics and econometrics : SNDE : … 21 (2017) 1, pp. 81-97

Models with short-term variations and long-term dynamics in risk management of commodity derivatives

Guo, Zi-Yi - 2017 - This version: February 2017

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas futures contracts, gasoil futures contracts,...

Nested MC-based risk measurement of complex portfolios : acceleration and energy efficiency

Desmettre, Sascha; Korn, Ralf; Varela, Javier Alejandro; … - In: Risks : open access journal 4 (2016) 4, pp. 1-35

regard, we approach the estimation of the widely-employed portfolio risk metrics value-at-risk (VaR) and conditional value-at-risk …

Risikomaße

Huschens, Stefan - 2017

The Solvency II Standard Formula, linear geometry, and diversification

Paulusch, Joachim - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-12

The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it should be seen as a means for the aggregation of different risks to an overall risk rather than being associated with variance-covariance based risk analysis. Considering the...

Heterogeneity of bank risk weights in the EU : evidence by asset class and country of counterparty exposure

Ariss, Rima Turk - 2017

Basel compliance and financial stability : evidence from Islamic banks

Bitar, Mohammad; Ben Naceur, Samy; Ayadi, Rym; Walker, … - 2017