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Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis

Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24

Persistent link: https://www.econbiz.de/10010389432

Application of duration measure in quantifying the sensitivity of project returns to changes in discount rates

Yousefi, Vahidreza; Yakhchali, Siamak Haji; … - In: Administrative Sciences : open access journal 9 (2019) 1/13, pp. 1-14

In this research, the concept of Duration with a new application in project management has been defined. The Duration of each project provides the project manager with a combined measure containing concepts of return, cost and time of the project. Further in this article, the changes in project...

Persistent link: https://www.econbiz.de/10012126909

Period value at risk and its estimation by Monte Carlo simulation

Huo, Yanli; Xu, Chunhui; Shiina, Takayuki - In: Applied economics letters 29 (2022) 18, pp. 1675-1679

Persistent link: https://www.econbiz.de/10013412280

A new set of improved value-at-risk backtests

Ziggel, Daniel; Berens, Tobias; Weiß, Gregor; Wied, Dominik - 2013

Persistent link: https://www.econbiz.de/10009793506

A new set of improved Value-at-Risk backtests

Ziggel, Daniel; Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of banking & finance 48 (2014), pp. 29-41

Persistent link: https://www.econbiz.de/10010506942

Risk management in the energy markets and Value-at-Risk modelling : a hybrid approach

Andriosopoulos, Kostas; Nomikos, Nikos K. - In: The European journal of finance 21 (2015) 7/9, pp. 548-574

Persistent link: https://www.econbiz.de/10011301233

Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge

Lehdili, Noureddine; Givi, Arshia - In: Risk and decision analysis 7 (2018) 3/4, pp. 91-105

Persistent link: https://www.econbiz.de/10012174432

Insurance risk capital and risk aggregation : bivariate copula approach

Mejdoub, Hanène; Arab, Mounira Ben - In: International journal of computational economics and … 9 (2019) 3, pp. 202-218

Persistent link: https://www.econbiz.de/10012115324

Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall

Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407

Persistent link: https://www.econbiz.de/10011962940

Variance reduction for risk measures with importance sampling in nested simulation

Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673

Persistent link: https://www.econbiz.de/10013367849