Similar Search Results

Nonparametric tests of tail behavior in stochastic frontier models

Horrace, William C.; Wang, Yulong - In: Journal of applied econometrics 37 (2022) 3, pp. 537-562

Persistent link: https://www.econbiz.de/10013186698

Backtesting systemic risk forecasts using multi-objective elicitability

Fissler, Tobias; Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 485-498

Persistent link: https://www.econbiz.de/10015053421

Structure of risk-averse multistage stochastic programs

Dupačová, Jitka; Kozmík, Václav - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 559-582

Persistent link: https://www.econbiz.de/10011296750

New approach to density estimation and application to value-at-risk

Lim, Kian-Guan; Cheng, Hao; Yap, Nelson K. L. - In: Journal of mathematical finance 5 (2015) 5, pp. 423-432

Persistent link: https://www.econbiz.de/10011440077

Rank-based multivariate Sarmanov for modeling dependence between loss reserves

Abdallah, Anas; Wang, Lan - In: Risks : open access journal 11 (2023) 11, pp. 1-37

the dependence between lines of business. An inadequate choice of the dependence structure may negatively impact the … robust estimation, and better captures the dependence between the risks. We also show that it generates smaller risk capital …

Persistent link: https://www.econbiz.de/10014435614

Assessing ChatGPT's proficiency in quantitative risk management

Hofert, Marius - In: Risks : open access journal 11 (2023) 9, pp. 1-29

courses on quantitative risk management, and address risk in general, risk measures, time series, extremes and dependence. As …

Persistent link: https://www.econbiz.de/10014375303

Copula modelling to analyse financial data

Dewick, Paul R.; Liu, Shuangzhe - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of specific interest to economic and financial modelling...

Persistent link: https://www.econbiz.de/10013161689

Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets

Hsu, Chun-pin; Huang, Chin-wen; Chiou, Wan-jiun Paul - In: Review of quantitative finance and accounting 39 (2012) 4, pp. 447-468

Persistent link: https://www.econbiz.de/10009690403

Capital allocation based on the tail covariance premium adjusted

Wang, Min - In: Insurance / Mathematics & economics 57 (2014), pp. 125-131

Persistent link: https://www.econbiz.de/10010402702

On the distribution of sums of random variables with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44

Persistent link: https://www.econbiz.de/10010469189