Narrow search
Showing 1 - 5 of 5
Cover Image
Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement : an empirical investigation during a financial crisis
Bee, Marco - In: The journal of risk model validation 6 (2012) 2, pp. 3-45
Persistent link: https://www.econbiz.de/10009572304
Cover Image
Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries
Radivojevic, Nikola; Curcic, Nikola; Milojkovic, Dragana; … - In: The journal of risk model validation 10 (2016) 2, pp. 57-81
Persistent link: https://www.econbiz.de/10011527481
Cover Image
The role of the loss function in value-at-risk comparisons
Abad, Pilar; Benito Muela, Sonia; López Martin, Carmen - In: The journal of risk model validation 9 (2015) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
Cover Image
Model risk in the Fundamental Review of the Trading Book : the case of the Default Risk Charge
Wilkens, Sascha; Predescu, Mirela - In: The journal of risk model validation 12 (2018) 4, pp. 41-67
Persistent link: https://www.econbiz.de/10011992266
Cover Image
Value-at-risk and the global financial crisis
Ha Tran Manh; Mai Ngoc Tran - In: The journal of risk model validation 17 (2023) 1, pp. 41-83
Persistent link: https://www.econbiz.de/10014485605