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Backtesting macroprudential stress tests

Ramadiah, Amanah; Fricke, Daniel; Caccioli, Fabio - In: Journal of economic dynamics & control 137 (2022), pp. 1-33

Persistent link: https://www.econbiz.de/10013464518

An Econometric Analysis of Financial Data in Risk Management

Fantazzini, Dean - In: Applied Econometrics 10 (2008) 2, pp. 91-137

The article deals with a recent and much up to date field of econometric science not yet known to the Russian reader — financial econometrics. Terminology and concepts of different kinds of risk management as well as methods of its measurement are considered in the paper. The article is a...

Persistent link: https://www.econbiz.de/10009002154

A new set of improved Value-at-Risk backtests

Ziggel, Daniel; Berens, Tobias; Weiß, Gregor N.F.; … - In: Journal of Banking & Finance 48 (2014) C, pp. 29-41

We propose a new set of formal backtests for VaR-forecasts that significantly improve upon existing backtesting …

Persistent link: https://www.econbiz.de/10011077978

Incentive-Compatible Sukuk Musharakah for Private Sector Funding

Diaw, Abdou; Bacha, Obiyathulla Ismath; Lahsasna, Ahcene - Volkswirtschaftliche Fakultät, … - 2012

properties of the model are empirically validated through two types of simulations: Monte Carlo Simulation and backtesting. The …

Persistent link: https://www.econbiz.de/10011258535

VaR/CVaR estimation under stochastic volatility models

Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10010363922

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

Evaluating the accuracy of value-at-risk forecasts : new multilevel tests

Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International journal of forecasting 30 (2014) 2, pp. 206-216

Persistent link: https://www.econbiz.de/10010510949

A simple and focused backtest of value at risk

Krämer, Walter; Wied, Dominik - In: Economics letters 137 (2015), pp. 29-31

Persistent link: https://www.econbiz.de/10011436196

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