Similar Search Results

Fantazzini, Dean; Dalla Valle, Luciana; Giudici, Paolo - In: International journal of risk assessment and management … 9 (2008) 3, pp. 238-257

Persistent link: https://www.econbiz.de/10003806839

Bayesian operational risk models

Figini, Silvia; Gao, Lijun; Giudici, Paolo - In: The journal of operational risk 10 (2015) 2, pp. 45-60

Persistent link: https://www.econbiz.de/10011298859

NetMES : a network based marginal expected shortfall measure

Hashem, Shatha Qamhieh; Giudici, Paolo - In: The journal of network theory in finance 2 (2016) 3, pp. 1-36

Persistent link: https://www.econbiz.de/10011668564

Tail Risk Measurement in Crypto-Asset Markets

Ahelegbey, Daniel Felix - 2020

The paper examines the relationships among market assets during stressful times, using two recently proposed econometric modeling techniques for tail risk measurement: the extreme downside hedge (EDH) and the extreme downside correlation (EDC). We extend both measures taking into account the...

Persistent link: https://www.econbiz.de/10012839210