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Sample dependence of risk premiums

Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: The journal of operational risk 14 (2019) 2, pp. 21-37

Persistent link: https://www.econbiz.de/10012052401

Credible value-at-risk

Mitic, Peter - In: The journal of operational risk 18 (2023) 4, pp. 33-70

Persistent link: https://www.econbiz.de/10014490183

Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points

Chu, Chih-Kang; Hwang, Ruey-Ching - In: Journal of financial services research : JFSR 56 (2019) 1, pp. 95-117

Persistent link: https://www.econbiz.de/10012301329

Stochastic tail index model for high frequency financial data with Bayesian analysis

Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487

Persistent link: https://www.econbiz.de/10012110325

Semiparametric value-at-risk estimation of portfolios : a replication study of dias (Journal of Banking & Finance, 2014)

Xu, Jiahua - In: International Journal for Re-Views in Empirical … 3 (2019) 6, pp. 1-20

This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The … of both extreme value theory (EVT) models and other multivariate models. The author however discovers, in one instance …

Persistent link: https://www.econbiz.de/10012123197

Modeling extreme events : time-varying extreme tail shape

Schwaab, Bernd; Zhang, Xin; Lucas, André - 2021

Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a … on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …

Persistent link: https://www.econbiz.de/10012429187

Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach

Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021

apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock … exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices. The effectiveness of risk measures for measuring risk … capital using Glue-value-at-risk (VaR) is more conservative than using other risk measures under the GEV distribution. …

Persistent link: https://www.econbiz.de/10012604174

Body and tail : an automated tail-detecting procedure

Hoffmann, Ingo; Börner, Christoph J. - In: Journal of risk 23 (2020/2021) 2, pp. 43-69

Persistent link: https://www.econbiz.de/10012500249

Distributional transforms, probability distortions, and their applications

Liu, Peng; Schied, Alexander; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 4, pp. 1490-1512

Persistent link: https://www.econbiz.de/10012796660

Approaches to Calculate Tail Quantiles of Compound Distributions

Abdymomunov, Azamat - 2017

The literature proposes several alternatives for estimating compound distributions, which are widely used for risk …

Persistent link: https://www.econbiz.de/10012961328