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The VaR implementation handbook
Computational economics
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217
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121
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110
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106
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ECONIS (ZBW)
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An application of the IFM method for the risk assessment of financial instruments
Pons, Adrià
;
Cristobal-Fransi, Eduard
;
Vintrò, Carla
; …
- In:
Computational economics
61
(
2023
)
1
,
pp. 295-315
Persistent link: https://www.econbiz.de/10014228427
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2
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
3
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
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4
Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
5
Horizon-adaptive extreme risk quantification for cryptocurrency assets
Tzagkarakis, George
;
Maurer, Frantz
- In:
Computational economics
62
(
2023
)
3
,
pp. 1251-1286
Persistent link: https://www.econbiz.de/10014382906
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6
Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
7
Deviation-based model risk measures
Berkhouch, Mohammed
;
Müller, Fernanda Maria
;
Lakhnati, …
- In:
Computational economics
59
(
2022
)
2
,
pp. 527-547
Persistent link: https://www.econbiz.de/10013169017
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8
Inaccurate value at risk estimations : bad modeling or inappropriate data?
Vasileiou, Evangelos
- In:
Computational economics
59
(
2022
)
3
,
pp. 1155-1171
Persistent link: https://www.econbiz.de/10013169235
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9
Early warning of Chinese Yuan's exchange rate fluctuation and value at risk measure using neural network joint optimization algorithm
Xu, Zhaoyi
;
Zeng, Yuqing
;
Xue, Yangrong
;
Yang, Shenggang
- In:
Computational economics
60
(
2022
)
4
,
pp. 1293-1315
Persistent link: https://www.econbiz.de/10013445750
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10
Analysis of early warning of RMB exchange rate fluctuation and value at risk measurement based on deep learning
Lu, Chunyi
;
Teng, Zhuoqi
;
Gao, Yu
;
Wu, Renhong
; …
- In:
Computational economics
59
(
2022
)
4
,
pp. 1501-1524
Persistent link: https://www.econbiz.de/10013261898
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11
Estimation of expected shortfall using quantile regression : a comparison study
Christou, Eliana
;
Grabchak, Michael
- In:
Computational economics
60
(
2022
)
2
,
pp. 725-753
Persistent link: https://www.econbiz.de/10013380827
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12
Tail risk early warning system for capital markets based on machine learning algorithms
Zhang, Zongxin
;
Chen, Ying
- In:
Computational economics
60
(
2022
)
3
,
pp. 901-923
Persistent link: https://www.econbiz.de/10013380850
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13
Dependence and systemic risk analysis between S&P 500 index and sector indexes : a conditional value-at-risk approach
Jiao, Shoukun
;
Ye, Wuyi
- In:
Computational economics
59
(
2022
)
3
,
pp. 1203-1229
Persistent link: https://www.econbiz.de/10013169244
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14
A statistical analysis of global economies using time varying copulas
Afuecheta, Emmanuel
;
Nadarajah, Saralees
;
Chan, Stephen
- In:
Computational economics
58
(
2021
)
4
,
pp. 1167-1194
Persistent link: https://www.econbiz.de/10012697904
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15
Nonparanormal structural VAR for non-Gaussian data
Dallakyan, Aramayis
- In:
Computational economics
57
(
2021
)
4
,
pp. 1093-1113
Persistent link: https://www.econbiz.de/10012543263
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16
On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.
;
Than-Thi, Hong
;
Asai, Manabu
- In:
Computational economics
58
(
2021
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
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17
International assets allocation with risk management via multi-stage stochastic programming
Yin, Libo
;
Han, Liyan
- In:
Computational economics
55
(
2020
)
2
,
pp. 385-405
Persistent link: https://www.econbiz.de/10012223636
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18
Measuring CoVaR : an empirical comparison
Bianchi, Michele Leonardo
;
Sorrentino, Alberto Maria
- In:
Computational economics
55
(
2020
)
2
,
pp. 511-528
Persistent link: https://www.econbiz.de/10012223647
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19
Risk-constrained Kelly portfolios under alpha-stable laws
Wesselhöfft, Niels
;
Härdle, Wolfgang
- In:
Computational economics
55
(
2020
)
3
,
pp. 801-826
Persistent link: https://www.econbiz.de/10012223676
Saved in:
20
Tail-related risk measurement and forecasting in equity markets
Bekiros, Stelios
;
Loukeris, Nikolaos
;
Eleftheriadis, …
- In:
Computational economics
53
(
2019
)
2
,
pp. 783-816
Persistent link: https://www.econbiz.de/10012134868
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21
Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method
Du, Junhong
;
Li, Zhiming
;
Wu, Lijun
- In:
Computational economics
53
(
2019
)
3
,
pp. 1133-1151
Persistent link: https://www.econbiz.de/10012135119
Saved in:
22
Risk : an R package for financial risk measures
Chan, Stephen
;
Nadarajah, Saralees
- In:
Computational economics
53
(
2019
)
4
,
pp. 1337-1351
Persistent link: https://www.econbiz.de/10012135135
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23
Time series simulation with randomized quasi-monte carlo methods : an application to value at risk and expected shortfall
Tzeng, Yu-Ying
;
Beaumont, Paul Michael
;
Ökten, Giray
- In:
Computational economics
52
(
2018
)
1
,
pp. 55-77
Persistent link: https://www.econbiz.de/10012052921
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24
Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles
Sun, Edward W.
;
Wang, Yu-Jen
;
Yu, Min-Teh
- In:
Computational economics
52
(
2018
)
2
,
pp. 627-652
Persistent link: https://www.econbiz.de/10012053017
Saved in:
25
Risk assessment with wavelet feature engineering for high-frequency portfolio trading
Chen, Yi-Ting
;
Sun, Edward W.
;
Yu, Min-Teh
- In:
Computational economics
52
(
2018
)
2
,
pp. 653-684
Persistent link: https://www.econbiz.de/10012053020
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26
Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der
;
Teng, Huei-Wen
;
Wang, Ren-Her
- In:
Computational economics
51
(
2018
)
4
,
pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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27
Performance of tail hedged portfolio with third moment variation swap
Lee, Kyungsub
;
Seo, Byoung Ki
- In:
Computational economics
50
(
2017
)
3
,
pp. 447-471
Persistent link: https://www.econbiz.de/10011783329
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28
Evolving fuzzy-GARCH approach for financial volatility modeling and forecasting
Maciel, Leandro
;
Gomide, Fernando
;
Ballini, Rosangela
- In:
Computational economics
48
(
2016
)
3
,
pp. 379-398
Persistent link: https://www.econbiz.de/10011712504
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29
Evaluating the default risk of bond portfolios with extreme value theory
Ma, Yong
;
Zhang, Zhengjun
;
Zhang, Weiguo
;
Xu, Weidong
- In:
Computational economics
45
(
2015
)
4
,
pp. 647-668
Persistent link: https://www.econbiz.de/10011440981
Saved in:
30
Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.
;
Moura, Guilherme Valle
;
Santos, …
- In:
Computational economics
46
(
2015
)
1
,
pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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31
Minimality of state space solutions of DSGE models and existence conditions for their VAR representation
Franchi, Massimo
;
Paruolo, Paolo
- In:
Computational economics
46
(
2015
)
4
,
pp. 613-626
Persistent link: https://www.econbiz.de/10011478892
Saved in:
32
Bank capital shock propagation via syndicated interconnectedness
Nirei, Makoto
;
Sushko, Vladyslav
;
Caballero, Julián
- In:
Computational economics
47
(
2015
)
1
,
pp. 67-96
Persistent link: https://www.econbiz.de/10011443423
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33
Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model
Ritter, Matthias
;
Mußhoff, Oliver
;
Odening, Martin
- In:
Computational economics
44
(
2014
)
1
,
pp. 67-86
Persistent link: https://www.econbiz.de/10010396231
Saved in:
34
Portfolio risk measures : the time's arrow matters
Ruttiens, Alain
- In:
Computational economics
41
(
2013
)
3
,
pp. 407-424
Persistent link: https://www.econbiz.de/10009711309
Saved in:
35
Implied severity density estimation : an extended semiparametric method to compute credit value at risk
Baixauli, J. Samuel
;
Alvarez, Susana
- In:
Computational economics
40
(
2012
)
2
,
pp. 115-129
Persistent link: https://www.econbiz.de/10009627482
Saved in:
36
Partially adaptive econometric methods for regression and classification
Hansen, James V.
;
McDonald, James B.
;
Theodossiou, …
- In:
Computational economics
36
(
2010
)
2
,
pp. 153-169
Persistent link: https://www.econbiz.de/10008796488
Saved in:
37
Calculating VaR for hedge funds
Billio, Monica
;
Getmansky, Mila
;
Pelizzon, Loriana
- In:
The VaR implementation handbook
,
(pp. 3-24)
.
2009
Persistent link: https://www.econbiz.de/10003826894
Saved in:
38
Efficient VaR : using past forecast performance to generate improved VaR forecasts
Dowd, Kevin
;
Blanco, Carlos
- In:
The VaR implementation handbook
,
(pp. 25-39)
.
2009
Persistent link: https://www.econbiz.de/10003826901
Saved in:
39
Applying VaR to hedge fund trading strategies : limitations and challenges
Lamm, R. McFall
- In:
The VaR implementation handbook
,
(pp. 41-57)
.
2009
Persistent link: https://www.econbiz.de/10003826905
Saved in:
40
Cash flow at risk : linking strategy and finance
Hommel, Ulrich
- In:
The VaR implementation handbook
,
(pp. 59-83)
.
2009
Persistent link: https://www.econbiz.de/10003826907
Saved in:
41
Plausible operational value-at-risk calculations for management decision making
Kross, Wilhelm
;
Hommel, Ulrich
;
Wiethuechter, Martin
- In:
The VaR implementation handbook
,
(pp. 85-104)
.
2009
Persistent link: https://www.econbiz.de/10003826913
Saved in:
42
Value-at-risk performance criterion : a performance measure for evaluating value-at-risk models
Adams, Zeno
;
Füss, Roland
- In:
The VaR implementation handbook
,
(pp. 105-119)
.
2009
Persistent link: https://www.econbiz.de/10003826931
Saved in:
43
Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk
Breitenfellner, Bastian
;
Wagner, Niklas F.
- In:
The VaR implementation handbook
,
(pp. 121-137)
.
2009
Persistent link: https://www.econbiz.de/10003826939
Saved in:
44
Some advanced approaches to VaR calculation and measurement
Racicot, François-Éric
;
Théoret, Raymond
- In:
The VaR implementation handbook
,
(pp. 139-165)
.
2009
Persistent link: https://www.econbiz.de/10003826945
Saved in:
45
Computational aspects of value at risk
Navarro, Germán
;
Olmeda, Ignacio
- In:
The VaR implementation handbook
,
(pp. 167-183)
.
2009
Persistent link: https://www.econbiz.de/10003826965
Saved in:
46
Value-at-risk-based stop-loss trading
Scherer, Bernd
- In:
The VaR implementation handbook
,
(pp. 187-206)
.
2009
Persistent link: https://www.econbiz.de/10003826996
Saved in:
47
Value at risk for high-dimensional portfolios : a dynamic grouped t-copula approach
Fantazzini, Dean
- In:
The VaR implementation handbook
,
(pp. 253-282)
.
2009
Persistent link: https://www.econbiz.de/10003827068
Saved in:
48
Risk measures and their applications in asset management
Bi̇rbi̇l, Ş. İlker
;
Frenk, Hans
;
Kaynar, Bahar
; …
- In:
The VaR implementation handbook
,
(pp. 311-338)
.
2009
Persistent link: https://www.econbiz.de/10003827082
Saved in:
49
Risk evaluation of sectors traded at the ISE with VaR analysis
Orhan, Mehmet
;
Karaahmet, Gökhan
- In:
The VaR implementation handbook
,
(pp. 339-358)
.
2009
Persistent link: https://www.econbiz.de/10003827087
Saved in:
50
Risk-managing the uncertainty in VaR model parameters
Hsu, Jason C.
;
Kalesnik, Vitali
- In:
The VaR implementation handbook
,
(pp. 385-401)
.
2009
Persistent link: https://www.econbiz.de/10003827091
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