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Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions

Kim, Joseph H. T.; Kim, So-Yeun - In: Insurance / Mathematics & economics 86 (2019), pp. 145-157

Persistent link: https://www.econbiz.de/10012058851

Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation

Hassani, Samir Saissi; Dionne, Georges - In: Journal of risk 25 (2023) 6, pp. 73-103

Persistent link: https://www.econbiz.de/10014546368

Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation

Hassani, Samir Saissi; Dionne, Georges - In: Journal of risk : JOR 25 (2023) 6, pp. 73-103

Persistent link: https://www.econbiz.de/10014487244

Value-at-Risk models and Basel capital charges : evidence from emerging and frontier stock markets

Rossignolo, Adrian F.; Fethı, Meryem Duygun; Shaban, … - In: Journal of financial stability 8 (2012) 4, pp. 303-319

Persistent link: https://www.econbiz.de/10009655576

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

Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates

Choi, Sun-Yong - In: The journal of risk model validation 10 (2016) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10011527478

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1997

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

Persistent link: https://www.econbiz.de/10010533206

Managing extreme risk in some major stock markets : an extreme value approach

Karmakar, Madhusudan; Shukla, Girja K. - In: International review of economics & finance : IREF 35 (2015), pp. 1-25

Persistent link: https://www.econbiz.de/10011333727

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

Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective

Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99

Persistent link: https://www.econbiz.de/10011662757