Risk factor beta conditional value-at-risk
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DOI: 10.1002/for.1116
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References listed on IDEAS
- Saita, Francesco, 2007. "Value at Risk and Bank Capital Management," Elsevier Monographs, Elsevier, edition 1, number 9780123694669.
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Citations
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Cited by:
- Stavros Degiannakis & Pamela Dent & Christos Floros, 2014.
"A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification,"
Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
- Degiannakis, Stavros & Dent, Pamela & Floros, Christos, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," MPRA Paper 80431, University Library of Munich, Germany.
- Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2016. "What derives the bond portfolio value-at-risk: Information roles of macroeconomic and financial stress factors," SFB 649 Discussion Papers 2016-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013.
"Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence,"
International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
- Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence," MPRA Paper 80433, University Library of Munich, Germany.
- repec:hum:wpaper:sfb649dp2016-006 is not listed on IDEAS
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