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The quantum harmonic oscillator expected shortfall model
Markovic, Vladimir M.; Radivojevic, Nikola; Ivanovic, … - In: Estudios de economía 50 (2023) 2, pp. 233-261
This paper presents a new Expected Shortfall (ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to estimate market risk in banks and other financial institutions according to Basel III standard. Predictions of the model agree with the empirical data which displays deviations...
Persistent link: https://www.econbiz.de/10014450737
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Short-selling, leverage and systemic risk
Pais, Amelia; Stork, Philip - 2013
financial institutions, especially for institutions with high leverage. This study uses Extreme Value Theory to estimate the …
Persistent link: https://www.econbiz.de/10010226885
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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Bank capital allocation under multiple constraints
Goel, Tirupam; Lewrick, Ulf; Tarashev, Nikola A. - 2017
Persistent link: https://www.econbiz.de/10011760255
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Bank capital allocation under multiple constraints
Goel, Tirupam; Lewrick, Ulf; Tarashev, Nikola A. - In: Journal of financial intermediation 44 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012653823
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Risk management of stock portfolios with jumps at exogenous default events
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014431441
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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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
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Impact of credit risk management on the performance of selected Nigerian banks
Nwude, E. Chuke; Okeke, Chinedu - In: International journal of economics and financial issues … 8 (2018) 2, pp. 287-297
Persistent link: https://www.econbiz.de/10011957657
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Relationship between risk management and financial performance of Nepalese commercial banks
Maharjan, Sujata - In: Nepalese journal of economics : a publication of … 3 (2019) 1, pp. 153-164
Persistent link: https://www.econbiz.de/10013204484