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Khalaf, Lynda; Leccadito, Arturo; Urga, Giovanni - In: Journal of financial econometrics 20 (2022) 5, pp. 839-874

Persistent link: https://www.econbiz.de/10013460029

Monte Carlo methods for economic capital

Li, Yajuan; Kaplan, Zachary T.; Nakayama, Marvin K. - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 1, pp. 266-284

Persistent link: https://www.econbiz.de/10014474920

A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57

Persistent link: https://www.econbiz.de/10014443184

On the calculation of risk measures using least-squares Monte Carlo

Benedetti, Giuseppe - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10011686897

Backtesting expected shortfall : accounting for tail risk

Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958

Persistent link: https://www.econbiz.de/10011672768

Optimization under supplier portfolio risk considering breach of contract and market risks

Wu, Qi; Sak, Halis; Seshadri, Sridhar; Haksoz, Cagri - In: Risk and decision analysis 7 (2018) 3/4, pp. 77-89

Persistent link: https://www.econbiz.de/10012174430

Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications

Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - 2018

Persistent link: https://www.econbiz.de/10011891048

Parameter Uncertainty and Residual Estimation Risk

Bignozzi, Valeria - 2014

The notion of residual estimation risk is introduced in order to study the impact of parameter uncertainty on capital adequacy, for a given risk measure and capital estimation procedure. Residual estimation risk is derived by applying the risk measure on a portfolio consisting of a random loss...

Persistent link: https://www.econbiz.de/10013065304

Anticipating extreme losses using score-driven shape filters

Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 4, pp. 449-484

Persistent link: https://www.econbiz.de/10014372905

Backtesting parametric value-at-risk with estimation risk

Escanciano, J. Carlos; Olmo, Jose - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 36-51

Persistent link: https://www.econbiz.de/10003992793

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