Search Results - subject:"expected shortfall."

Narrow search

Risk measures under model uncertainty : a Bayesian viewpoint

Cuchiero, Christa; Gazzani, Guido; Klein, Irene - In: Frontiers of mathematical finance : FMF 2 (2023) 4, pp. 438-477

Persistent link: https://www.econbiz.de/10015374112

Backtestability and the ridge backtest

Acerbi, Carlo; Székely, Balázs - In: Frontiers of mathematical finance : FMF 2 (2023) 4, pp. 497-521

Persistent link: https://www.econbiz.de/10015374118

A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependenceh

Mai, Jan-Frederik; Blagoeva, Aleksandra; Scherer, Matthias - In: Frontiers of mathematical finance : FMF 2 (2023) 4, pp. 522-553

Persistent link: https://www.econbiz.de/10015374119

Stylized facts, volatility dynamics and risk measures of cryptocurrencies

Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of Business Economics and Management (JBEM) 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/10015401200

Covid-19 pandemic and the banking risk mitigation : a lesson from the Indonesian credit restructuring policy

Nurdany, Achmad; Al-Banna, Hasan; Wijayanti, Dwi Marlina; … - In: Iranian economic review : journal of University of Tehran 27 (2023) 4, pp. 1341-1360

Persistent link: https://www.econbiz.de/10015401857

Systemic risk between cryptocurrencies and real currencies using the conditional value at risk approach and marginal expected shortfall

Pajooyan, Sadaf; Abdoli, Ghahreman; Souri, Ali - In: Iranian economic review : journal of University of Tehran 27 (2023) 3, pp. 915-938

Persistent link: https://www.econbiz.de/10015400942

Probability equivalent level of Value at Risk and higher-order Expected Shortfalls

Barczy, Mátyás; Nedényi, Fanni K.; Sütő, László - In: Insurance / Mathematics & economics 108 (2023), pp. 107-128

Persistent link: https://www.econbiz.de/10013534514

The impact of the COVID-19 pandemic on bank systemic risk : some cross-country evidence

Yan, Yuanyun; Jeon, Bang-nam; Wu, Ji - In: China finance review international 13 (2023) 3, pp. 388-409

Persistent link: https://www.econbiz.de/10014362715

A comparative study between retail sukuk and retail bonds in Indonesia

Danila, Nevi; Noor Azlinna Azizan; Noreen, Umara - In: International journal of business and globalisation : IJBG 33 (2023) 3, pp. 373-386

Persistent link: https://www.econbiz.de/10014232791

Bank systemic risk in Southeast Asian economies

Li, Xiaodan; Lin, Edward M.H.; Yu, Min-Teh - In: Advances in Pacific Basin business, economics and finance 11 (2023), pp. 201-219

Persistent link: https://www.econbiz.de/10014338503

A service of the

zbw