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Bank's middle office analytics, risk modelling and comparative Basel regimes
Anjum, Shahid Waseem - In: International journal of monetary economics and finance 11 (2018) 4, pp. 354-362
Persistent link: https://www.econbiz.de/10011998266
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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Sensitivity of stress testing metrics to estimation risk, account behaviour and volatility for credit defaults
Djeundje, Viani Biatat; Crook, Jonathan N. - In: Journal of the Operational Research Society 74 (2023) 7, pp. 1763-1774
Persistent link: https://www.econbiz.de/10014336309
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Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data
Degiannakis, Stavros; Potamia, Artemis - In: International review of financial analysis 49 (2017), pp. 176-190
Persistent link: https://www.econbiz.de/10011741290
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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709
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Volatility risk measures and banks' leverage
Anselmi, Giulio - 2024
Persistent link: https://www.econbiz.de/10015046722
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How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
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Hands-On Value-at-Risk and expected shortfall : a practical primer
Auer, Martin - 2018
1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS...
Persistent link: https://www.econbiz.de/10013341689
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From duration analysis to GARCH models : an approach to systematization of quantitative methods in risk measurement
Jajuga, Krzysztof - In: Economics and business review 2 (2016) 3, pp. 7-19
Persistent link: https://www.econbiz.de/10011634951
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Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach
Trucíos, Carlos; Tiwari, Aviral Kumar; Alqahtani, Faisal - In: Applied economics 52 (2020) 24, pp. 2580-2593
Persistent link: https://www.econbiz.de/10012210957