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Risk aggregation by a copula with a stressed condition
Yoshiba, Toshinao - 2013
Persistent link: https://www.econbiz.de/10010189914
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Risk aggregation with copula for banking industry
Yoshiba, Toshinao - 2015
Persistent link: https://www.econbiz.de/10011375924
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Quantile forecasts of financial returns using realized GARCH models
Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009239366
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A simplified method for calculating the credit risk of lending portfolios
Ieda, Akira; Marumo, Kouhei; Yoshiba, Toshinao - 2000
Persistent link: https://www.econbiz.de/10001479160
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Comparative analyses of expected shortfall and VaR : their estimation error, decomposition, and optimization
Yamai, Yasuhiro; Yoshiba, Toshinao - 2001
Persistent link: https://www.econbiz.de/10001598298
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Comparative analyses of expected shortfall and value-at-risk (2) : expected utility maximization and tail risk
Yoshiba, Toshinao; Yamai, Yasuhiro - 2001
Persistent link: https://www.econbiz.de/10001607851
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On the validity of value-at-risk : comparative analyses with expected shortfall
Yamai, Yasuhiro; Yoshiba, Toshinao - 2001
Persistent link: https://www.econbiz.de/10001564769
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Comparative analyses of expected shortfall and value-at-risk [Teil] 3: their validity under market stress
Yamai, Yasuhiro; Yoshiba, Toshinao - In: Monetary and economic studies 20 (2002) 3, pp. 181-237
Persistent link: https://www.econbiz.de/10001705659
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Comparative analyses of expected shortfall and value-at-risk (3) : their validity under market stress
Yamai, Yasuhiro; Yoshiba, Toshinao - 2002
Persistent link: https://www.econbiz.de/10001676681
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Comparative analyses of expected shortfall and value-at-risk, [Pt.] (2): expected utility maximization and tail risk
Yamai, Yasuhiro; Yoshiba, Toshinao - In: Monetary and economic studies 20 (2002) 2, pp. 95-115
Persistent link: https://www.econbiz.de/10001669839