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Displaced Relative Changes in Historical Simulation : Application to Risk Measures of Interest Rates with Phases of Negative Rates

Fries, Christian - 2016

In this paper we introduce the displaced historical simulation model which is designed to handle negative and close-to-zero risk factors. This is an issue of recent and major interest to the financial sector, both from a regulatory and financial institutions perspective, especially in light of...

Persistent link: https://www.econbiz.de/10013007760

Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics

Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878

Persistent link: https://www.econbiz.de/10012295647

Sensitivity of risk measures with respect to the normal approximation of total claim distributions

Krätschmer, Volker; Zähle, Henryk - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 335-344

Persistent link: https://www.econbiz.de/10009404714

Robust tracking error portfolio selection with worst-case downside risk measures

Ling, Aifan; Sun, Jie; Yang, Xiaoguang - In: Journal of economic dynamics & control 39 (2014), pp. 178-207

Persistent link: https://www.econbiz.de/10010388754

Comparing the small-sample estimation error of conceptually different risk measures

Auer, Benjamin R.; Schuhmacher, Frank - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-21

Persistent link: https://www.econbiz.de/10012662011

Making Cornish-Fisher fit for risk measurement

Lamb, John D.; Monville, Maura E.; Tee, Kaihong - In: Journal of risk 21 (2018/2019) 5, pp. 53-81

Persistent link: https://www.econbiz.de/10012059934

Risk capital and VaR

Kupiec, Paul H. - In: The journal of derivatives : the official publication … 7 (2000) 2, pp. 41-52

Persistent link: https://www.econbiz.de/10001497765

Bias correction for estimated distortion risk measure using the bootstrap

Kim, Joseph H. T. - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 198-205

Persistent link: https://www.econbiz.de/10008654254

Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks

Lauer, Alexandra; Zähle, Henryk - In: Insurance / Mathematics & economics 74 (2017), pp. 99-108

Persistent link: https://www.econbiz.de/10011712409

Bias-corrected estimators for the Vasicek model : an application in risk measure estimation

Guo, Zi-Yi - In: Journal of risk 23 (2020/2021) 2, pp. 71-104

Persistent link: https://www.econbiz.de/10012500264