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Calculate tail quantiles of compound distributions

Abdymomunov, Azamat; Curti, Filippo; Kane, Hayden - In: The journal of computational finance 22 (2018/2019) 5, pp. 41-70

Persistent link: https://www.econbiz.de/10012042235

Systemic risk measurement : multivariate GARCH estimation of CoVaR

Girardi, Giulio; Ergün, Tolga A. - In: Journal of banking & finance 37 (2013) 8, pp. 3169-3180

Persistent link: https://www.econbiz.de/10009778470

Estimating the distribution of total default losses on the Spanish financial system

García-Céspedes, Rubén; Moreno, Manuel - In: Journal of banking & finance 49 (2014), pp. 242-261

Persistent link: https://www.econbiz.de/10010508036

Evaluating the accuracy of value-at-risk forecasts : new multilevel tests

Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International journal of forecasting 30 (2014) 2, pp. 206-216

Persistent link: https://www.econbiz.de/10010510949

Modeling fund and portfolio risk : a bi-modal approach to analyzing risk in turbulent markets

Karagiannidis, Iordanis; Wilford, D. S. - In: Review of financial economics : RFE 25 (2015), pp. 19-26

Persistent link: https://www.econbiz.de/10011498207

Operational risk modelling in insurance and banking

Vukovic, Ognjen - In: Inventi impact: microfinance & banking (2016) 3, pp. 172-184

Persistent link: https://www.econbiz.de/10011567927

The Bayesian approach to capital allocation at operational risk : a combination of statistical data and expert opinion

Habachi, Mohamed; Benbachir, Saâd - In: International Journal of Financial Studies : open … 8 (2020) 1/9, pp. 1-24

Operational risk management remains a major concern for financial institutions. Indeed, institutions are bound to manage their own funds to hedge this risk. In this paper, we propose an approach to allocate one's own funds based on a combination of historical data and expert opinion using the...

Persistent link: https://www.econbiz.de/10012168944

An evaluation and comparison of Value at Risk and Expected Shortfall

Burdorf, Tom; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 4, pp. 17-34

Persistent link: https://www.econbiz.de/10012055643

An application of the IFM method for the risk assessment of financial instruments

Pons, Adrià; Cristobal-Fransi, Eduard; Vintrò, Carla; … - In: Computational economics 61 (2023) 1, pp. 295-315

Persistent link: https://www.econbiz.de/10014228427

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