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Systemic tail risk distribution

Bienvenüe, Alexis; Robert, Christian Yann - In: Annals of economics and statistics 123/124 (2016), pp. 29-52

Persistent link: https://www.econbiz.de/10011592732

Large deviations for risk measures in finite mixture models

Bignozzi, Valeria; Macci, Claudio; Petrella, Lea - In: Insurance / Mathematics & economics 80 (2018), pp. 84-92

Persistent link: https://www.econbiz.de/10011872915

Nonparametric tail risk, stock returns and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016

Persistent link: https://www.econbiz.de/10011458735

Sharp probability tail estimates for portfolio credit risk

Collamore, Jeffrey F.; Silva, Hasitha de; Vidyashankar, … - In: Risks : open access journal 10 (2022) 12, pp. 1-20

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default … also discuss estimates for Value-at-Risk, and observe that our results may be extended to cases where the number of factors …

Persistent link: https://www.econbiz.de/10014230963

Range value-at-risk bounds for unimodal distributions under partial information

Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24

Persistent link: https://www.econbiz.de/10012419085

Focussed selection of the claim severity distribution

Wang, Yinzhi; Hobæk Haff, Ingrid - In: Scandinavian actuarial journal 2019 (2019) 2, pp. 129-142

Persistent link: https://www.econbiz.de/10012194941

On additivity of tail comonotonic risks

Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung … - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 837-866

Persistent link: https://www.econbiz.de/10012195005

On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment

Lefevre, Claude; Loisel, Stéphane; Montesinos, Pierre - In: Scandinavian actuarial journal 2021 (2021) 6, pp. 476-504

Persistent link: https://www.econbiz.de/10012588355

Stress testing and systemic risk measures using elliptical conditional multivariate probabilities

Aste, Tomaso - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-17

Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable … distribution function can provide a full quantification of risk and stress propagation in the system. However, multivariate … distributions, discussing their estimation from data and proposing novel measures for stress impact and systemic risk in systems …

Persistent link: https://www.econbiz.de/10012534607

A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures

Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 437-465

Persistent link: https://www.econbiz.de/10012793936