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Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014518798
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The importance of window size : a study on the required window size for optimal-quality market risk models
Buczyński, Mateusz; Chlebus, Marcin - In: The journal of risk model validation 16 (2022) 1, pp. 77-97
Persistent link: https://www.econbiz.de/10014540551
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Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian; Stupfler, Gilles; Yang, Fan - In: Insurance / Mathematics & economics 111 (2023), pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
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The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Fałdziński, Marcin; Osińska, Magdalena - In: The journal of risk model validation 14 (2020) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10014335988
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Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Hanbali, Hamza; Linders, Daniël; Dhaene, Jan - In: Scandinavian actuarial journal 2023 (2023) 3, pp. 219-243
Persistent link: https://www.econbiz.de/10014336322
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Robust distortion risk measures
Bernard, Carole; Pesenti, Silvana M.; Vanduffel, Steven - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 774-818
Persistent link: https://www.econbiz.de/10014565274
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Estimating dynamic systemic risk measures
Cantin, Loïc; Francq, Christian; Zakoïan, Jean-Michel - 2022
Persistent link: https://www.econbiz.de/10013206985
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Estimating and backtesting risk under heavy tails
Pitera, Marcin; Schmidt, Thorsten - In: Insurance / Mathematics & economics 104 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
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Semiparametric modeling of multiple quantiles
Catania, Leopoldo; Luati, Alessandra - In: Journal of econometrics 237 (2023) 2,2, pp. 1-16
Persistent link: https://www.econbiz.de/10014471520
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An approach to capital allocation based on mean conditional value-at-risk
Han, Yuecai; Zhang, Fengtong; Liu, Xinyu - In: Journal of risk : JOR 25 (2023) 6, pp. 53-71
Persistent link: https://www.econbiz.de/10014487234