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The Quality of reserve risk calculation models under solvency II and IFRS 17
Arató, N. Miklós; Martinek, László - In: Risks : open access journal 10 (2022) 11, pp. 1-13
uniquely prescribe the metric for risk adjustment, we expect that VaR will be widely applied by insurance firms. Overall …
Persistent link: https://www.econbiz.de/10014225942
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Extreme value statistics using related variables
Ahmed, Hanan - 2022
Persistent link: https://www.econbiz.de/10013263346
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Risk measurement with a safety belt : Pareto meets Chebyshev
Tödter, Karl-Heinz - In: Kredit und Kapital 45 (2012) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009580916
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Backtesting an equity risk model under Solvency II
Santomil, Pablo Durán; González, Luís Otero; Cunill, … - In: Journal of business research : JBR 89 (2018), pp. 216-222
Persistent link: https://www.econbiz.de/10011881772
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Applied economics letters 31 (2024) 18, pp. 1907-1914
Persistent link: https://www.econbiz.de/10015084570
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Multiple hypothesis testing of market risk forecasting models
Esposito, Francesco P.; Cummins, Mark - In: Journal of forecasting 35 (2016) 5, pp. 381-399
Persistent link: https://www.econbiz.de/10011580778
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Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models
Yang, Bill Huajian - In: The journal of risk model validation 7 (2013/2014) 4, pp. 3-19
Persistent link: https://www.econbiz.de/10010480647
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points
Chu, Chih-Kang; Hwang, Ruey-Ching - In: Journal of financial services research : JFSR 56 (2019) 1, pp. 95-117
Persistent link: https://www.econbiz.de/10012301329