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Markets liquidity risk under extremal dependence : analysis with VaRs methods

Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836

Persistent link: https://www.econbiz.de/10009667092

Extreme risk in resource indices and the generalized logistic distribution

Huang, Chun-Kai; Pather, Venelle; Hammujuddy, Jahvaid; … - In: The journal of applied business research 33 (2017) 2, pp. 283-296

Persistent link: https://www.econbiz.de/10011673879

Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets

Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun - In: Journal of risk finance : the convergence of financial … 18 (2017) 1, pp. 88-118

Persistent link: https://www.econbiz.de/10011653721

Measuring systemic risk via GAS models and extreme value theory : revisiting the 2007 financial crisis

Gavronski, Pedro Gerhardt; Ziegelmann, Flavio A. - In: Finance research letters 38 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012490211

Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime

Brahimi, Brahim; Abdelli, Jihane - In: Insurance / Mathematics & economics 70 (2016), pp. 135-143

Persistent link: https://www.econbiz.de/10011597203

Measuring tail risks

Chen, Kan; Cheng, Tuoyuan - In: The Journal of finance and data science : JFDS 8 (2022), pp. 296-308

Value-at-Risk (VaR) and Expected Shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (MPMR) that can occur over a length of time....

Persistent link: https://www.econbiz.de/10014433723