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Two-stage nested simulation of tail risk measurement : a likelihood ratio approach

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A simulation-based method for estimating systemic risk measures

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Value-at-risk in the European energy market : a comparison of parametric, historical simulation and quantile regression value-at-risk

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Methods for computing numerical standard errors : review and application to value-at-risk estimation

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Calculate tail quantiles of compound distributions

Abdymomunov, Azamat; Curti, Filippo; Kane, Hayden - In: The journal of computational finance 22 (2018/2019) 5, pp. 41-70

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Modeling fund and portfolio risk : a bi-modal approach to analyzing risk in turbulent markets

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Operational risk modelling in insurance and banking

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Hands-On Value-at-Risk and expected shortfall : a practical primer

Auer, Martin - 2018

1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS...

Persistent link: https://www.econbiz.de/10013341689