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Inference for the tail conditional allocation : large sample properties, insurance risk assessment, and compound sums of concomitants
Gribkova, N. V.; Su, J.; Zitikis, R. - In: Insurance / Mathematics & economics 107 (2022), pp. 199-222
Persistent link: https://www.econbiz.de/10013471211
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Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Applied economics letters 31 (2024) 18, pp. 1907-1914
Persistent link: https://www.econbiz.de/10015084570
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Modeling extreme events : time-varying extreme tail shape
D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 903-917
Persistent link: https://www.econbiz.de/10015053506
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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 … model, we find the ECB program had a beneficial impact on extreme upper tail quantiles, leaning against the risk of …
Persistent link: https://www.econbiz.de/10013252235
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The transformed Gram Charlier distribution : parametric properties and financial risk applications
León Valle, Ángel Manuel; Ñíguez, Trino-Manuel - In: Journal of empirical finance 63 (2021), pp. 323-349
Persistent link: https://www.econbiz.de/10013259272
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Vasiček Distribution for Nonuniform Credit Portfolios Losses
Shirazi, Ali - 2014
Developing a closed-form integral Vasicek representation of loss distribution for non-uniform credit portfolio (i.e. with varying PDs and structured correlations), which i) is non-iterative and computationally fast as opposed to standard Monte-Carlo, and ii) enables efficient analytic estimators...
Persistent link: https://www.econbiz.de/10013056787
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Range Value-at-Risk Bounds for Unimodal Distributions under Partial Information
Bernard, Carole - 2020
In this paper, we derive upper and lower bounds on the Range Value-at-Risk of the portfolio loss when we only know its … other situations of interest. Specifically, we apply our method to obtain risk bounds in the case of a portfolio loss that …
Persistent link: https://www.econbiz.de/10012848760
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Bivariate Tail Conditional Co-Expectation for elliptical distributions
Cerqueti, Roy; Palestini, Arsen - 2024
Persistent link: https://www.econbiz.de/10015357888
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Quantile coherency : a general measure for dependence between cyclical economic variables
Baruník, Jozef; Kley, Tobias - In: The econometrics journal 22 (2019) 2, pp. 131-152
Persistent link: https://www.econbiz.de/10012166706
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Interplay of subexponential and dependent insurance and financial risks
Chen, Yiqing - In: Insurance / Mathematics & economics 77 (2017), pp. 78-83
Persistent link: https://www.econbiz.de/10011783904