Similar Search Results - EconBiz

Risk management with thinly traded securities : methodology and implementation

Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...

Persistent link: https://www.econbiz.de/10011303812

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

Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models

Aloui, Chaker; Ben Hamida, Hela - In: Finance a úvěr 65 (2015) 1, pp. 30-54

Persistent link: https://www.econbiz.de/10010474200

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794

Messung von Marktrisiken unter Verwendung von Copulafunktionen : eine empirische Studie für den Schweizer Aktienmarkt

Glauser, Manrico - 2003

Persistent link: https://www.econbiz.de/10002397745

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

Performance testing of margin models using time series similarity

Wong, Max Chan Yue; Pei, Patrick Ge - In: The journal of financial market infrastructures 5 (2017) 4, pp. 50-75

Persistent link: https://www.econbiz.de/10011729223

Die ökonometrische Bestimmung von Liquiditätsrisiken und deren Einfluss auf Finanzrisikoprognosen

Uffmann, Christina - 2020

Persistent link: https://www.econbiz.de/10012115141

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

Persistent link: https://www.econbiz.de/10011392904

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