Search Results - subject:"value‐at‐risk" - EconBiz

An evaluation of the adequacy of Lévy and extreme value tail risk estimates

Mozumber, Sharif; Hassan, M. Kabir; Kabir, M. Humayun - In: Financial innovation : FIN 10 (2024), pp. 1-26

This study investigates the simplicity and adequacy of tail-based risk measures-valueat-risk (VaR) and expected shortfall (ES)-when applied to tail targeting of the extreme value (EV) model. We implement Lévy-VaR and ES risk measures as full density-based alternatives to the generalized Pareto...

Persistent link: https://www.econbiz.de/10014547241

DeepTVAR : deep learning for a time-varying VAR model with extension to integrated VAR

Li, Xixi; Yuan, Jingsong - In: International journal of forecasting 40 (2024) 3, pp. 1123-1133

Persistent link: https://www.econbiz.de/10014547261

Ups and (draw)downs

Proietti, Tommaso - 2024

Persistent link: https://www.econbiz.de/10014549053

Addressing the economic and demographic complexity via a neural network approach : risk measures for reverse mortgages

Di Lorenzo, Emilia; Piscopo, Gabriella; Sibillo, Marilena - In: Computational management science 21 (2024) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10014442633

Bayesian VARs and prior calibration in times of COVID-19

Hartwig, Benny - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10014505189

Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio

Cotticelli, Stefano; Savelli, Nino - In: Annals of actuarial science : publ. by the Institute of … 18 (2024) 1, pp. 205-236

Persistent link: https://www.econbiz.de/10014519979

A functional-coefficient VAR model for dynamic quantiles and its application to constructing nonparametric financial network

Cai, Zongwu; Liu, Xiyuan; Su, Liangjun - 2024

Persistent link: https://www.econbiz.de/10014521096

Extreme value inference for general heterogeneous data

He, Yi; Einmahl, John H. J. - 2024

Persistent link: https://www.econbiz.de/10014528470

Risk scenarios and macroeconomic forecasts

Moran, Kevin; Stevanović, Dalibor; Surprenant, Stéphane - 2024

Persistent link: https://www.econbiz.de/10014529009

Forecasting VaR and ES by using deep quantile regression, GANs-based scenario generation, and heterogeneous market hypothesis

Wang, Jianzhou; Wang, Shuai; Lv, Mengzheng; Jiang, He - In: Financial innovation : FIN 10 (2024), pp. 1-35

Value at risk (VaR) and expected shortfall (ES) have emerged as standard measures for detecting the market risk of …

Persistent link: https://www.econbiz.de/10014530222

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