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A novel credit model risk measure : do more data lead to lower model risk?

Yoshida, Valter T.; Schiozer, Rafael Felipe; Genaro, Alan de - In: The quarterly review of economics and finance 100 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015405538

Focussed selection of the claim severity distribution

Wang, Yinzhi; Hobæk Haff, Ingrid - In: Scandinavian actuarial journal 2019 (2019) 2, pp. 129-142

Persistent link: https://www.econbiz.de/10012194941

Maximum likelihood estimation error an operational value-at-risk stability

Larsen, Paul - In: The journal of operational risk 14 (2019) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10012052373

Model and moment selection in factor copula models

Duan, Fang; Manner, Hans; Wied, Dominik - In: Journal of financial econometrics 20 (2022) 1, pp. 45-75

Persistent link: https://www.econbiz.de/10012878186

Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

Persistent link: https://www.econbiz.de/10010292668

Forecasting the Risk of Speculative Assets by Means of Copula Distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

Persistent link: https://www.econbiz.de/10010632797

Accurate methods for approximate Bayesian Computation Filtering

Calvet, Laurent E.; Czellar, Veronika - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 798-838

Persistent link: https://www.econbiz.de/10011417791

Forecast encompassing tests for the expected shortfall

Dimitriadis, Timo; Schnaitmann, Julie - In: International journal of forecasting 37 (2021) 2, pp. 604-621

Persistent link: https://www.econbiz.de/10012792857

Predicting stock returns : a risk measurement perspective

Dai, Zhifeng; Kang, Jie; Wen, Fenghua - In: International review of financial analysis 74 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012803806

Sentiment-induced regime switching in density forecasts of emerging markets’ exchange rates : calibrated simulation trumps estimated autoregression

Jaworski, Krystian - In: Bank i kredyt 50 (2019) 1, pp. 83-106

Persistent link: https://www.econbiz.de/10012502763