Search Results - subject:"expected shortfall."

Estimating copula-based extension of tail value-at-risk and its application in insurance claim

Syuhada, Khreshna; Neswan, Oki; Parulian, Josaphat, Bony - 2022

Dependent Tail Value-at-Risk, abbreviated as DTVaR, is a copula-based extension of Tail Value-at-Risk (TVaR). This risk measure is an expectation of a target loss once the loss and its associated loss are above their respective quantiles but bounded above by their respective larger quantiles. In...

Persistent link: https://www.econbiz.de/10013363132

Bayesian quantile forecasting via the realized hysteretic GARCH model

Chen, Cathy W. S.; Lin, Edward M. H.; Huang, Tara F. J. - In: Journal of forecasting 41 (2022) 7, pp. 1317-1337

Persistent link: https://www.econbiz.de/10013465697

Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting

Gerlach, Richard; Wang, Chao - In: Journal of financial econometrics 20 (2022) 1, pp. 105-138

Persistent link: https://www.econbiz.de/10012878188

Counterparty risk allocation

Baule, Rainer - In: Journal of risk 25 (2022) 1, pp. 49-74

Persistent link: https://www.econbiz.de/10013549681

Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall

Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - In: Journal of risk 25 (2022) 2, pp. 75-105

Persistent link: https://www.econbiz.de/10014342468

Robustness in the optimization of risk measures

Embrechts, Paul; Schied, Alexander; Wang, Ruodu - In: Operations research 70 (2022) 1, pp. 95-110

Persistent link: https://www.econbiz.de/10012820643

Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013367470

Combining multi-asset and intrinsic risk measures

Laudagé, Christian; Sass, Jörn; Wenzel, Jörg - In: Insurance / Mathematics & economics 106 (2022), pp. 254-269

Persistent link: https://www.econbiz.de/10013380532

Inference for the tail conditional allocation : large sample properties, insurance risk assessment, and compound sums of concomitants

Gribkova, N. V.; Su, J.; Zitikis, R. - In: Insurance / Mathematics & economics 107 (2022), pp. 199-222

Persistent link: https://www.econbiz.de/10013471211

Multilevel and tail risk management

Khalaf, Lynda; Leccadito, Arturo; Urga, Giovanni - In: Journal of financial econometrics 20 (2022) 5, pp. 839-874

Persistent link: https://www.econbiz.de/10013460029