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Applying three VaR approaches in measuring market risk of stock portfolio : the case study of VN-30 stock basket in HOSE

Nguyen Quang Thinh; Vo Thi Quy - In: Journal of economic development 24 (2017) 2, pp. 90-113

Persistent link: https://www.econbiz.de/10011804846

Quantifying foreign exchange risk in the selected listed sectors of the Johannesburg Stock Exchange : an SV-EVT pairwise copula approach

Eita, Joel Hinaunye; Djemo, Charles Raoul Tchuinkam - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-29

This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets with some selected listed stock indices. We...

Persistent link: https://www.econbiz.de/10013252765

Long run peso/dollar exchange rates and extreme value behavior : Value at Risk modeling

Jesús, Raúl de; Ortiz, Edgar; Cabello, Alejandra - In: The North American journal of economics and finance : a … 24 (2013), pp. 139-152

Persistent link: https://www.econbiz.de/10009739669

Dependence structure and portfolio risk in Indian foreign exchange market : a GARCH-EVT-Copula approach

Karmakar, Madhusudan - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 275-291

Persistent link: https://www.econbiz.de/10011792337

How accurate are modern value-at-risk estimators derived from extreme value theory?

Auer, Benjamin R.; Mögel, Benjamin - 2016

derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and … that the traditional historical simulation approach, which is currently the most frequently used VaR estimator in …

Persistent link: https://www.econbiz.de/10011587888

How accurate are modern Value-at-Risk estimators derived from extreme value theory?

Mögel, Benjamin; Auer, Benjamin R. - In: Review of quantitative finance and accounting 50 (2018) 4, pp. 979-1030

Persistent link: https://www.econbiz.de/10011979349

The effectiveness of Value-at-Risk models in various volatility regimes

Schiffers, Aleksander; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012816709

Hull-White's value at risk model : case study of Baltic equities market

Radivojević, Nikola; Ćurčić, Nikola V.; … - In: Journal of business economics and management 18 (2017) 5, pp. 1023-1041

Persistent link: https://www.econbiz.de/10011781020

An evaluation and comparison of Value at Risk and Expected Shortfall

Burdorf, Tom; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 4, pp. 17-34

Persistent link: https://www.econbiz.de/10012055643

Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model

Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477

Persistent link: https://www.econbiz.de/10011875347