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Diversification evidence from international equity markets using extreme values and stochastic copulas

Bhatti, Muhammad Ishaq; Nguyen, Cuong - In: Journal of international financial markets, … 22 (2012) 3, pp. 622-646

Persistent link: https://www.econbiz.de/10009623538

Risk correlation based on time-varying copula function and extreme value theory

Ji, Xinlong; Zhou, Lu - In: Theoretical economics letters 7 (2017) 7, pp. 2213-2229

Persistent link: https://www.econbiz.de/10011786009

Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors

Teng, Huei-Wen - In: Computational economics 62 (2023) 3, pp. 1125-1154

Persistent link: https://www.econbiz.de/10014382887

Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach

Storti, Giuseppe; Wang, Chao - In: Journal of forecasting 42 (2023) 7, pp. 1648-1663

Persistent link: https://www.econbiz.de/10014432743

PELVE : probability equivalent level of VaR and ES

Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370

Persistent link: https://www.econbiz.de/10014364915

Robustness in the optimization of risk measures

Embrechts, Paul; Schied, Alexander; Wang, Ruodu - In: Operations research 70 (2022) 1, pp. 95-110

Persistent link: https://www.econbiz.de/10012820643

External risk measures and Basel accords

Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417

Persistent link: https://www.econbiz.de/10009787381

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

Persistent link: https://www.econbiz.de/10010399713

Unexpected tails in risk measurement : some international evidence

Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493

Persistent link: https://www.econbiz.de/10010404698

Expected shortfall or median shortfall

Kou, Steven; Peng, Xianhua - In: Journal of financial engineering 1 (2014) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10010508103