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How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? : a practical assessment
Idier, Julien; Lamé, Gildas; Mésonnier, Jean-Stéphane - In: Journal of banking & finance 47 (2014), pp. 134-146
Persistent link: https://www.econbiz.de/10010506498
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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
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Portfolio frontiers with restrictions to tracking error volatility and value at risk
Palomba, Giulio; Riccetti, Luca - In: Journal of banking & finance 36 (2012) 9, pp. 2604-2615
Persistent link: https://www.econbiz.de/10009657621
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Systemic risk contributions : a credit portfolio approach
Puzanova, Natalia; Düllmann, Klaus - In: Journal of banking & finance 37 (2013) 4, pp. 1243-1257
Persistent link: https://www.econbiz.de/10009719795
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Rewards for downside risk in Aisan markets
Alles, Lakshman; Murray, Louis - In: Journal of banking & finance 37 (2013) 7, pp. 2501-2509
Persistent link: https://www.econbiz.de/10009760610
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Forecasting the return distribution using high-frequency volatility measures
Hua, Jian; Manzan, Sebastiano - In: Journal of banking & finance 37 (2013) 11, pp. 4381-4403
Persistent link: https://www.econbiz.de/10010247031
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Systemic risk and asymmetric responses in the financial industry
López-Espinosa, Germán; Moreno, Antonio; Rubia, Antonio; … - In: Journal of banking & finance 58 (2015), pp. 471-485
Persistent link: https://www.econbiz.de/10011544046
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Unexpected tails in risk measurement : some international evidence
Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493
Persistent link: https://www.econbiz.de/10010404698
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Estimating the distribution of total default losses on the Spanish financial system
García-Céspedes, Rubén; Moreno, Manuel - In: Journal of banking & finance 49 (2014), pp. 242-261
Persistent link: https://www.econbiz.de/10010508036
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Downside risk and the cross-section of cryptocurrency returns
Zhang, Wei; Li, Yi; Xiong, Xiong; Wang, Pengfei - In: Journal of banking & finance 133 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013256328