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

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

-Factor and Fama-French Five-Factor Models. The most significant predictors of green equity returns were Value-at-Risk at a 95 …% confidence level, and Value-at-Risk at a 99% confidence level. Expected Shortfall was another extreme risk value measure. The …

Persistent link: https://www.econbiz.de/10012872607

Did COVID-19 increase equity market risk exposure? : evidence from China, the UK, and the US

Li, Matthew C.; Lai, Catherine C.; Xiao, Ling - In: Applied economics letters 29 (2022) 6, pp. 567-571

Persistent link: https://www.econbiz.de/10012873353

Variance reduction for risk measures with importance sampling in nested simulation

Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673

Persistent link: https://www.econbiz.de/10013367849

GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series

Kaibuchi, Hibiki; Kawasaki, Yoshinori; Stupfler, G. - In: Quantitative finance 22 (2022) 7, pp. 1277-1294

Persistent link: https://www.econbiz.de/10013367899

Vulnerability-CoVaR : investigating the crypto-market

Waltz, Martin; Singh, Abhay Kumar; Okhrin, Ostap - In: Quantitative finance 22 (2022) 9, pp. 1731-1745

Persistent link: https://www.econbiz.de/10013367943

Multi-variate risk measures under Wasserstein barycenter

Arias-Serna, M. Andrea; Loubes, Jean Michel; … - In: Risks : open access journal 10 (2022) 9, pp. 1-15

case. In such cases, the Wasserstein barycenter Value-at-Risk belongs to the same family, thus it is characterized just by …

Persistent link: https://www.econbiz.de/10013368725

Saddlepoint approximations for credit portfolios with stochastic recoveries

Herbertsson, Alexander - 2022

Persistent link: https://www.econbiz.de/10013369349

Reconciling TEV and VaR in active portfolio management : a new frontier

Lucchetti, Riccardo; Nicolau, Mihaela; Palomba, Giulio; … - 2022

Persistent link: https://www.econbiz.de/10013330699

Monetary policy, funding cost and banks’ risk-taking : evidence from the United States

Bürgi, Constantin; Jiang, Bo - 2022

show in a value-at-risk RTC model that the lending for banks with relatively more equity and non-interest-bearing deposits …

Persistent link: https://www.econbiz.de/10013390943

Analyzing collateral repo haircuts in Asian countries

Gunadi, Iman; Sasongko, Aryo; Sari, Dian Fitriarni - In: Bulletin of monetary economics and banking 25 (2022) 4, pp. 495-530

Persistent link: https://www.econbiz.de/10014265979