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Forecasting value-at-risk and expected shortfall in emerging market : does forecast combination help?

Trung Hai Le - In: The journal of risk finance : JRF 25 (2024) 1, pp. 160-177

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Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR

Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80

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Decay factor as a determinant of forecasting models

Mentel, Grzegorz; Brożyna, Jacek - In: International journal of economics and finance 7 (2015) 1, pp. 118-128

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Empirical risk assessment of maintenance costs under full-service contracts

Deprez, Laurens; Antonio, Katrien; Boute, Robert N. - In: European journal of operational research : EJOR 304 (2023) 2, pp. 476-493

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Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach

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A long term expected risk estimation of maritime accidents through Markov chain approach and probabilistic risk matrix

Kim, Dong Jin; Sur, Ji Min; Cho, Hyeon U. - In: The Asian Journal of Shipping and Logistics 39 (2023) 3, pp. 1-12

Among many risk assessment techniques, qualitative, semi-quantitative or quantitative, risk matrix is a common tool to … assess risk by allocating frequency and consequence of an accident to one of the pre divided frequency and consequence … categories. However, since there is no standardized way to define these categories, risk matrix with its strength of being …

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Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

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Accuracy of mortgage portfolio risk forecasts during financial crises

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A comparison of expected shortfall estimation models

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