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Efficient estimation in extreme value regression models of hedge fund tail risks

Hambuckers, Julien; Kratz, Marie; Usseglio-Carleve, Antoine - 2023

Persistent link: https://www.econbiz.de/10014412457

Estimating the VaR-induced Euler allocation rule

Gribkova, N. V.; Su, Jianxi; Zitikis, R. - In: ASTIN bulletin : the journal of the International … 53 (2023) 3, pp. 619-635

Persistent link: https://www.econbiz.de/10014342969

Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk

Rockafellar, Ralph Tyrrell; Royst, Johannes O.; … - In: European journal of operational research : EJOR 234 (2014) 1, pp. 140-154

Persistent link: https://www.econbiz.de/10010247347

Joint generalized quantile and conditional tail expectation regression for insurance risk analysis

Guillén, Montserrat; Bermúdez, Lluís; Pitarque, Albert - In: Insurance / Mathematics & economics 99 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012649203

Risk analysis with categorical explanatory variables

Kang, Seul Ki; Peng, Liang; Xiao, Hongmin - In: Insurance / Mathematics & economics 91 (2020), pp. 238-243

Persistent link: https://www.econbiz.de/10012242018

Assessment of model risk due to the use of an inappropriate parameter estimator

Seitshiro, Modisane B.; Mashele, Hopolang P. - In: Cogent economics & finance 8 (2020) 1, pp. 1-20

The purpose of this study is to assess model risk with respect to parameter estimation for a simple binary logistic … using several optimization methods to address parameter estimation risk for predictive models is substantial. This is the …

Persistent link: https://www.econbiz.de/10012149200

Interpolation of quantile regression to estimate driver's risk of traffic accident based on excess speed

Pitarque, Albert; Guillén, Montserrat - In: Risks : open access journal 10 (2022) 1, pp. 1-13

Quantile regression provides a way to estimate a driver's risk of a traffic accident by means of predicting the … provides a fast approximate calculation of a risk score. We illustrate our results with data on 9614 drivers observed over one …

Persistent link: https://www.econbiz.de/10012805818

Measuring risks in the tail: the extreme VaR and its confidence interval

Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Risk and decision analysis 6 (2017) 3, pp. 213-224

Persistent link: https://www.econbiz.de/10011925077

Reducing estimation risk using a Bayesian posterior distribution approach : application to stress testing mortgage loan default

Wang, Zheqi; Crook, Jonathan N.; Andreeva, Galina - In: European journal of operational research : EJOR 287 (2020) 2, pp. 725-738

Persistent link: https://www.econbiz.de/10012293945

Gesamtrisiko-Messung von Banken und Unternehmen

Spellmann, Frank - 2002 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001658271