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An evaluation and comparison of Value at Risk and Expected Shortfall

Burdorf, Tom; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 4, pp. 17-34

Persistent link: https://www.econbiz.de/10012055643

Applying three VaR approaches in measuring market risk of stock portfolio : the case study of VN-30 stock basket in HOSE

Nguyen Quang Thinh; Vo Thi Quy - In: Journal of economic development 24 (2017) 2, pp. 90-113

Persistent link: https://www.econbiz.de/10011804846

Art-secured lending : a risk analysis framework

Charlin, Ventura; Cifuentes, Arturo - In: The journal of credit risk : published quarterly by … 16 (2020) 2, pp. 67-93

Persistent link: https://www.econbiz.de/10012298997

Optimization under supplier portfolio risk considering breach of contract and market risks

Wu, Qi; Sak, Halis; Seshadri, Sridhar; Haksoz, Cagri - In: Risk and decision analysis 7 (2018) 3/4, pp. 77-89

Persistent link: https://www.econbiz.de/10012174430

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

Hull-White's value at risk model : case study of Baltic equities market

Radivojević, Nikola; Ćurčić, Nikola V.; … - In: Journal of business economics and management 18 (2017) 5, pp. 1023-1041

Persistent link: https://www.econbiz.de/10011781020

Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio

Cotticelli, Stefano; Savelli, Nino - In: Annals of actuarial science : publ. by the Institute of … 18 (2024) 1, pp. 205-236

Persistent link: https://www.econbiz.de/10014519979

The effectiveness of Value-at-Risk models in various volatility regimes

Schiffers, Aleksander; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012816709

The Measurement of Market Risk : Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions

Moix, Pierre-Yves - 2001

The objective of this book is to set up an economic quantitative model for the assessment of financial market risk. The Measurement of Market Risk reviews the probabilistic modelling of so-called risk factors, which represent the uncertainty of financial markets, and discusses the issue of risk...

Persistent link: https://www.econbiz.de/10013519163

Simulating risk contributions of credit portfolios

Liu, Guangwu - In: Operations research 63 (2015) 1, pp. 104-121

Persistent link: https://www.econbiz.de/10010519509