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Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors

Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and …. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …

Persistent link: https://www.econbiz.de/10011545172

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

Persistent link: https://www.econbiz.de/10014431618

Estimation of risk contributions with MCMC

Koike, Takaaki; Minami, Mihoko - In: Quantitative finance 19 (2019) 9, pp. 1579-1597

Persistent link: https://www.econbiz.de/10012194808

Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo

Mitic, Peter; Hu, Jiaqi - In: The journal of operational risk 14 (2019) 4, pp. 1-42

Persistent link: https://www.econbiz.de/10012157425

Score-driven Markov-switching EGARCH models : an application to systematic risk analysis

Blazsek, Szabolcs; Ho, Han-Chiang; Liu, Su-Ping - In: Applied economics 50 (2018) 56, pp. 6047-6060

Persistent link: https://www.econbiz.de/10012063386

Market risk and market-implied inflation expectations

Orłowski, Lucjan T.; Soper, Carolyne - In: International review of financial analysis 66 (2019), pp. 1-8

Persistent link: https://www.econbiz.de/10012208965

Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model

Gao, Lingbo; Ye, Wuyi; Guo, Ranran - In: Finance research letters 48 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013459321

A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57

Persistent link: https://www.econbiz.de/10014443184

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

measures, resulting from the new model, can be used to implemennt joint risk scenario analysis. …

Persistent link: https://www.econbiz.de/10014314068

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

Persistent link: https://www.econbiz.de/10014285859