Similar Search Results

Narrow search

Optimal liquidity reserve with funding liquidity risk

Zhang, Dewei; Wu, Chongfeng; Zhou, Chunyang - In: Applied economics letters 20 (2013) 16/18, pp. 1449-1452

Persistent link: https://www.econbiz.de/10010212382

Optimal insurance under the insurer's VaR constraint

Zhou, Chunyang; Wu, Chongfeng - In: The Geneva risk and insurance review 34 (2009) 2, pp. 140-154

Persistent link: https://www.econbiz.de/10003943465

Estimating multi-period value at risk of oil futures prices

Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingchen - In: Applied economics 48 (2016) 31/33, pp. 2994-3004

Persistent link: https://www.econbiz.de/10011615344

Financial structure and determinants of systemic risk contribution

Qin, Xiao; Zhou, Chunyang - In: Pacific-Basin finance journal 57 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012170568

Estimating Multi-Period Value at Risk of Oil Futures Prices

Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingcheng - 2022

In this study, we estimate the multi-period Value at Risk (VaR) of oil future prices under a generalized autoregressive conditional heteroscedasticity with a skewed-t residuals (GARCH-ST) model, which is developed to account for the stylized facts of oil futures returns, such as serial...

Persistent link: https://www.econbiz.de/10014239626

Risk concentration of aggregated dependent risks : the second-order properties

Tong, Bin; Wu, Chongfeng; Xu, Weidong - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 139-149

Persistent link: https://www.econbiz.de/10009501691

Operational risk quantified with spectral risk measures : a refined closed-form approximation

Tong, Bin; Diao, Xundi; Wu, Chongfeng - In: Quantitative finance 19 (2019) 7, pp. 1221-1242

Persistent link: https://www.econbiz.de/10012194759