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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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Portofolio crash testing : making sense of extreme event exposures
Novosyolov, Arcady; Satchkov, Daniel - In: The journal of risk model validation 4 (2010/11) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10008699880
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On the time scaling af value-at-risk with trading
Skoglund, Jimmy; Erdman, Donald; Chen, Wei - In: The journal of risk model validation 5 (2011) 4, pp. 17-26
Persistent link: https://www.econbiz.de/10009422495
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Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice
Wehn, Carsten - In: The journal of risk model validation 12 (2018) 4, pp. 17-39
Persistent link: https://www.econbiz.de/10011992015
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Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios; Tsolas, Ioannis E. - In: The journal of risk model validation 15 (2021) 4, pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
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Modeling value-at-risk for international portfolios in different jump-diffusion processes
Chen, Fen-ying - In: The journal of risk model validation 7 (2013) 2, pp. 93-117
Persistent link: https://www.econbiz.de/10009780648
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Risk reduction in a time series momentum trading strategy
Hong, KiHoon; Park, KiBong; Lee, Yong Woong - In: The journal of risk model validation 10 (2016) 4, pp. 55-70
Persistent link: https://www.econbiz.de/10011587716
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A quick tool to forecast value-at-risk using implied and realized volatilities
Cesarone, Francesco; Colucci, Stefano - In: The journal of risk model validation 10 (2016) 4, pp. 71-101
Persistent link: https://www.econbiz.de/10011587719
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Shrunk volatility value-at-risk : an application on US balanced portfolios
Colucci, Stefano - In: The journal of risk model validation 12 (2018) 2, pp. 1-62
Persistent link: https://www.econbiz.de/10011912252
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Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models
Yang, Bill Huajian - In: The journal of risk model validation 7 (2013/2014) 4, pp. 3-19
Persistent link: https://www.econbiz.de/10010480647