Search Results - subject:"expected shortfall."

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

A component expected shortfall approach to systemic risk : an application in the South African financial industry

Manguzvane, Mathias Mandla; Sibusiso Blessing Ngobese - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-14

insurers to aggregate the systemic risk of their respective industries by employing the component expected shortfall (CES). The …

Persistent link: https://www.econbiz.de/10014485398

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

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

Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests

Oordt, Maarten R. C. van - In: Journal of money, credit and banking : JMCB 55 (2023) 2/3, pp. 465-501

Persistent link: https://www.econbiz.de/10014305980

Joint extreme Value-at-Rrisk and Expected Shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2025

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/10015324099

Migration to new margin calculation method (JSCC-VaR) in listed financial derivatives : brief overview and impact analysis

Ichiki, Shingo - 2025

Persistent link: https://www.econbiz.de/10015325186

Quantile VARs and macroeconomic risk forecasting

Surprenant, Stéphane - 2025 - Last updated: January 17, 2025

Recent rises in macroeconomic volatility have prompted the introduction of quantile vector autoregression (QVAR) models to forecast macroeconomic risk. This paper provides an extensive evaluation of the predictive performance of QVAR models in a pseudo-out-of-sample experiment spanning 112...

Persistent link: https://www.econbiz.de/10015187517

Optimizing sequential decision-making under risk : strategic allocation with switching penalties

Malekipirbazari, Milad - In: European journal of operational research : EJOR 321 (2025) 1, pp. 160-176

Persistent link: https://www.econbiz.de/10015094944

Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital

Cevik, Emrah Ismail; Kenç, Turalay; Goodell, John W.; … - In: International review of economics & finance : IREF 97 (2025), pp. 1-23

Persistent link: https://www.econbiz.de/10015327028

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