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Uncertainties and extreme risk spillover in the energy markets : a time-varying copula-based CoVaR approach

Ji, Qiang; Liu, Bing-Yue; Nehler, Henrik; Uddin, … - In: Energy economics 76 (2018), pp. 115-126

Persistent link: https://www.econbiz.de/10011976598

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

Measuring systemic risk with a dynamic copula-based approach

Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863

Persistent link: https://www.econbiz.de/10012627102

Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models

Kielmann, Julia; Manner, Hans; Min, Aleksey - 2021

Persistent link: https://www.econbiz.de/10012503368

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

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

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

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