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Tail risk forecasting with semiparametric regression models by incorporating overnight information

Chen, Cathy W. S.; Koike, Takaaki; Shau, Wei-Hsuan - In: Journal of forecasting 43 (2024) 5, pp. 1492-1512

Persistent link: https://www.econbiz.de/10015108416

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

Persistent link: https://www.econbiz.de/10010399713

Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis

Rom, Niels - 2025

Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9....

Persistent link: https://www.econbiz.de/10015401840

External risk measures and Basel accords

Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417

Persistent link: https://www.econbiz.de/10009787381

Risk management with weighted VaR

Wei, Pengyu - In: Mathematical finance : an international journal of … 28 (2018) 4, pp. 1020-1060

Persistent link: https://www.econbiz.de/10011969073

An empirical evaluation of value at risk by scenario simulation

Abken, Peter A. - In: The journal of derivatives : the official publication … 7 (2000) 4, pp. 12-29

Persistent link: https://www.econbiz.de/10001500033

On the way to recovery : a nonparametric bias free estimation of recovery rate densities

Renault, Olivier; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001764671

Var for nonlinear financial instruments : linear approximation or full Monte Carlo?

Ammann, Manuel; Reich, Christian - In: Financial markets and portfolio management 15 (2001) 3, pp. 363-378

Persistent link: https://www.econbiz.de/10001715584

VaR : the state to play

Pearson, Neil D.; Smithson, Charles Wayne - In: Review of financial economics : RFE 11 (2002) 3, pp. 175-189

Persistent link: https://www.econbiz.de/10001720504

Optimization of Monte Carlo procedures for value at risk estimates

Antonelli, Sabrina; Iovino, Maria Gabriella - In: Economic notes : economic review of Banca Monte dei … 31 (2002) 1, pp. 59-78

Persistent link: https://www.econbiz.de/10001669258