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Systemic risk measurement : multivariate GARCH estimation of CoVaR

Girardi, Giulio; Ergün, Tolga A. - In: Journal of banking & finance 37 (2013) 8, pp. 3169-3180

Persistent link: https://www.econbiz.de/10009778470

Estimating risk with copulas

Mihaylova, Iva - 2014

Persistent link: https://www.econbiz.de/10010366882

Estimating risk on the capital market with VaR method

Bogdan, Sinisa; Baresa, Suzana; Ivanovic, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 1, pp. 165-175

risk. Risk and return are generally considered two positively correlated sizes, during the growth of risk it is expected … increase of return to compensate the higher risk. The quantification of risk in the capital market represents the current topic … assets. Three main Value at Risk (VaR) methodologies are decribed and explained in detail: historical method, parametric …

Persistent link: https://www.econbiz.de/10011299237

Looking for efficient QML estimation of conditional VaRs at multiple risk levels

Francq, Christian; Zakoïan, Jean-Michel - In: Annals of economics and statistics 123/124 (2016), pp. 9-28

Persistent link: https://www.econbiz.de/10011592728

Estimation risk for value-at-risk and expected shortfall

Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47

Persistent link: https://www.econbiz.de/10011847463

Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

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

Unbiased estimation of risk

Pitera, Marcin; Schmidt, Thorsten - In: Journal of banking & finance 91 (2018), pp. 133-145

Persistent link: https://www.econbiz.de/10011963654

Risk decomposition, estimation error, and naïve diversification

Haensly, Paul J. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-34

Persistent link: https://www.econbiz.de/10012654769

Confidence intervals for conditional tail risk measures in ARMA-GARCH models

Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 613-624

Persistent link: https://www.econbiz.de/10012179001