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Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation

Hassani, Samir Saissi; Dionne, Georges - 2023

Persistent link: https://www.econbiz.de/10014234014

Value at risk estimation for heavy tailed distributions

Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125

Persistent link: https://www.econbiz.de/10010241908

Multivariate heavy-tailed models for value-at-risk estimation

Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10009624462

Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution

Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457

Persistent link: https://www.econbiz.de/10011597142

Value at risk (VaR) analysis for fat tails and long memory in returns

Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230

Persistent link: https://www.econbiz.de/10011684346

Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation

Hassani, Samir Saissi; Dionne, Georges - 2023

Persistent link: https://www.econbiz.de/10014232280

The new international regulation of market risk : roles of VaR and CVaR in model validation

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012423037

The new international regulation of market risk: roles of VaR and CVaR in model validation

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012545817

Conditional extremes in asymmetric financial markets

Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213

Persistent link: https://www.econbiz.de/10012179547

Backtesting Value-at-Risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - 2019

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These … estimation error, and propose robust tests that account for it. Monte Carlo experiments show that the tests that ignore these …, we find that estimation error substantially impacts the outcome of the backtests. …

Persistent link: https://www.econbiz.de/10012057163