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A comparison of expected shortfall estimation models

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47

Persistent link: https://www.econbiz.de/10011317189

On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles

Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords …, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk … (VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After …

Persistent link: https://www.econbiz.de/10011867427

Numerical comparison of multivariate models to forecasting risk measures

Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10011859009

Carl and his pot : measuring risks in commodity markets

Algieri, Bernardina; Leccadito, Arturo - In: Risks : open access journal 8 (2020) 1/27, pp. 1-15

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil …, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered …

Persistent link: https://www.econbiz.de/10012203657

Portfolio optimisation using alternative risk measures

Lorimer, Douglas Austen; Van Schalkwyk, Cornelis Hendrik; … - In: Finance research letters 67 (2024) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10015061498

Monitoring value-at-risk and expected shortfall forecasts

Hoga, Yannick; Demetrescu, Matei - In: Management science : journal of the Institute for … 69 (2023) 5, pp. 2954-2971

Persistent link: https://www.econbiz.de/10014305469

Risk model backtesting

Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162

Persistent link: https://www.econbiz.de/10011483358

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

Parameter risk in time-series mortality forecasts

Kleinow, Torsten; Richards, Stephen J. - In: Scandinavian actuarial journal (2017) 9, pp. 804-828

Persistent link: https://www.econbiz.de/10011848682

Bayesian Value-at-Risk backtesting : the case of annuity pricing

Leung, Melvern; Li, Youwei; Pantelous, Athanasios A.; … - In: European journal of operational research : EJOR 293 (2021) 2, pp. 786-801

Persistent link: https://www.econbiz.de/10012513273