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Value-at-risk versus expected shortfall: A practical perspective

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Cited by:

  1. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, vol. 2(2), pages 1-15, May.
  2. Jose Fernandes & Augusto Hasman & Juan Ignacio Pena, 2007. "Risk premium: insights over the threshold," Applied Financial Economics, Taylor & Francis Journals, vol. 18(1), pages 41-59.
  3. Shangmei Zhao & Qing Lu & Liyan Han & Yong Liu & Fei Hu, 2015. "A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution," Annals of Operations Research, Springer, vol. 226(1), pages 727-739, March.
  4. Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019. "Choosing expected shortfall over VaR in Basel III using stochastic dominance," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
  5. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017. "Measuring Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
  6. Almeida, Caio & Vicente, José, 2009. "Are interest rate options important for the assessment of interest rate risk?," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1376-1387, August.
  7. Massimiliano Amarante, 2016. "A representation of risk measures," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(1), pages 95-103, April.
  8. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Tinbergen Institute Discussion Papers 15-056/III, Tinbergen Institute.
  9. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
  10. Corrado Di Maria & Ian Lange & Emiliya Lazarova, 2014. "A Look Upstream: Electricity Market Restructuring, Risk, Procurement Contracts and Efficiency," Working Papers 2014-12, Colorado School of Mines, Division of Economics and Business.
  11. Xin Huang & Hao Zhou & Haibin Zhu, 2012. "Systemic Risk Contributions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 55-83, October.
  12. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
  13. Danielsson, Jon & Zhou, Chen, 2015. "Why risk is so hard to measure," LSE Research Online Documents on Economics 62002, London School of Economics and Political Science, LSE Library.
  14. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia," Risks, MDPI, vol. 6(4), pages 1-22, October.
  15. Juan Carlos Escanciano & Zaichao Du, 2015. "Backtesting Expected Shortfall: Accounting for Tail Risk," CAEPR Working Papers 2015-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  16. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2009. "A framework for assessing the systemic risk of major financial institutions," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2036-2049, November.
  17. Saša ŽIKOVIÆ & Randall K. FILER, 2013. "Ranking of VaR and ES Models: Performance in Developed and Emerging Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(4), pages 327-359, August.
  18. Suzanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What Is the Best Risk Measure in Practice? A Comparison of Standard Measures," Working Papers hal-00921283, HAL.
  19. Rostagno, Luciano Martin, 2005. "Empirical tests of parametric and non-parametric Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) measures for the Brazilian stock market index," ISU General Staff Papers 2005010108000021878, Iowa State University, Department of Economics.
  20. Susanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What is the best risk measure in practice? A comparison of standard measures," Papers 1312.1645, arXiv.org, revised Apr 2015.
  21. Chen, Cathy W.S. & Hsu, Hsiao-Yun & Watanabe, Toshiaki, 2023. "Tail risk forecasting of realized volatility CAViaR models," Finance Research Letters, Elsevier, vol. 51(C).
  22. Wong, Woon K., 2010. "Backtesting value-at-risk based on tail losses," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 526-538, June.
  23. Jukka Ilomäki, 2018. "Risk and return of a trend-chasing application in financial markets: an empirical test," Risk Management, Palgrave Macmillan, vol. 20(3), pages 258-272, August.
  24. Luca Merlo & Lea Petrella & Valentina Raponi, 2021. "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers 2106.06518, arXiv.org.
  25. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
  26. repec:hum:wpaper:sfb649dp2016-035 is not listed on IDEAS
  27. Di Maria, Corrado & Lange, Ian & Lazarova, Emiliya, 2018. "A look upstream: Market restructuring, risk, procurement contracts and efficiency," International Journal of Industrial Organization, Elsevier, vol. 57(C), pages 35-83.
  28. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2012. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 8(3), pages 193-205.
  29. Sharma, Bijay P. & Yu, T. Edward & English, Burton C. & Boyer, Christopher N. & Larson, James A., 2020. "Impact of government subsidies on a cellulosic biofuel sector with diverse risk preferences toward feedstock uncertainty," Energy Policy, Elsevier, vol. 146(C).
  30. Benjamin R. Auer & Benjamin Mögel, 2016. "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series 6288, CESifo.
  31. Angelidis, Timotheos & Degiannakis, Stavros, 2007. "Backtesting VaR Models: A Τwo-Stage Procedure," MPRA Paper 80418, University Library of Munich, Germany.
  32. Francesco Paolo Natale, 2008. "Optimisation in the presence of tail-dependence and tail risk: A heuristic approach for strategic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 374-400, February.
  33. repec:hal:journl:hal-00921283 is not listed on IDEAS
  34. Adam, Tomáš & Benecká, Soňa & Matějů, Jakub, 2018. "Financial stress and its non-linear impact on CEE exchange rates," Journal of Financial Stability, Elsevier, vol. 36(C), pages 346-360.
  35. Tarasov, Arthur, 2011. "Coherent Quantitative Analysis of Risks in Agribusiness: Case of Ukraine," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 3(4), pages 1-7, December.
  36. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
  37. Immo Stadtmüller & Benjamin R. Auer & Frank Schuhmacher, 2024. "Core-satellite investing with commodity futures momentum," Journal of Asset Management, Palgrave Macmillan, vol. 25(3), pages 261-287, May.
  38. Aditya Banerjee & Samit Paul, 2024. "Idiosyncrasies of Intraday Risk in Emerging and Developed Markets: Efficacy of the MCS-GARCH Model and Extreme Value Theory," Global Business Review, International Management Institute, vol. 25(2), pages 468-490, April.
  39. Chen, Qian & Gerlach, Richard & Lu, Zudi, 2012. "Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3498-3516.
  40. Roger W. Barnard & Kent Pearce & A. Alexandre Trindade, 2018. "When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management," Annals of Operations Research, Springer, vol. 262(1), pages 47-65, March.
  41. Attig, Najah & Guedhami, Omrane & Nazaire, Gregory & Sy, Oumar, 2023. "What explains the benefits of international portfolio diversification?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  42. Saralees Nadarajah & Bo Zhang & Stephen Chan, 2014. "Estimation methods for expected shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 271-291, February.
  43. Guerra, Manuel & Centeno, M.L., 2012. "Are quantile risk measures suitable for risk-transfer decisions?," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 446-461.
  44. Benjamin Mögel & Benjamin R. Auer, 2018. "How accurate are modern Value-at-Risk estimators derived from extreme value theory?," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 979-1030, May.
  45. Vica Tendenan & Richard Gerlach & Chao Wang, 2020. "Tail risk forecasting using Bayesian realized EGARCH models," Papers 2008.05147, arXiv.org, revised Aug 2020.
  46. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
  47. James M. O'Brien & Pawel J. Szerszen, 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
  48. Srivastav, Abhishek & Keasey, Kevin & Mollah, Sabur & Vallascas, Francesco, 2017. "CEO turnover in large banks: Does tail risk matter?," Journal of Accounting and Economics, Elsevier, vol. 64(1), pages 37-55.
  49. Chaker Aloui & Hela BEN HAMIDA, 2015. "Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 30-54, January.
  50. Cao, Min & Conlon, Thomas, 2023. "Composite jet fuel cross-hedging," Journal of Commodity Markets, Elsevier, vol. 30(C).
  51. Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).
  52. Kaouther Toumi & Jean-Laurent Viviani & Zeinab Chayeh, 2019. "Measurement of the displaced commercial risk in Islamic Banks," Post-Print halshs-01806496, HAL.
  53. Ozun, Alper & Cifter, Atilla & Yilmazer, Sait, 2007. "Filtered Extreme Value Theory for Value-At-Risk Estimation," MPRA Paper 3302, University Library of Munich, Germany.
  54. Aquila, Giancarlo & Rotela Junior, Paulo & de Oliveira Pamplona, Edson & de Queiroz, Anderson Rodrigo, 2017. "Wind power feasibility analysis under uncertainty in the Brazilian electricity market," Energy Economics, Elsevier, vol. 65(C), pages 127-136.
  55. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
  56. Georgios Tziralis & Konstantinos Kirytopoulos & Athanasios Rentizelas & Ilias Tatsiopoulos, 2009. "Holistic investment assessment: optimization, risk appraisal and decision making," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 30(6), pages 393-403.
  57. Yam Wing Siu, 2020. "Impact of Expected Shortfall Approach on Capital Requirement Under Basel," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-34, January.
  58. Lönnbark, Carl, 2013. "On the role of the estimation error in prediction of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 847-853.
  59. Sobreira, Nuno & Louro, Rui, 2020. "Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market," Finance Research Letters, Elsevier, vol. 32(C).
  60. Lian, Ziying & Cai, Jun & Webb, Robert I., 2020. "Oil stocks, risk factors, and tail behavior," Energy Economics, Elsevier, vol. 91(C).
  61. Köster, Hannes & Pelster, Matthias, 2017. "Financial penalties and bank performance," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 57-73.
  62. Toumi, Kaouther & Viviani, Jean-Laurent & Chayeh, Zeinab, 2019. "Measurement of the displaced commercial risk in Islamic Banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 18-31.
  63. Zaichao Du & Juan Carlos Escanciano, 2017. "Backtesting Expected Shortfall: Accounting for Tail Risk," Management Science, INFORMS, vol. 63(4), pages 940-958, April.
  64. López Cabrera, Brenda & Schulz, Franziska, 2016. "Time-adaptive probabilistic forecasts of electricity spot prices with application to risk management," SFB 649 Discussion Papers 2016-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  65. Danielsson, Jon & Zhou, Chen, 2015. "Why risk is so hard to measure," LSE Research Online Documents on Economics 62002, London School of Economics and Political Science, LSE Library.
  66. Nicola Loperfido & Tomer Shushi, 2023. "Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 143-166, October.
  67. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
  68. Yam Wing Siu, 2018. "Volatility Forecast by Volatility Index and Its Use as a Risk Management Tool Under a Value-at-Risk Approach," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-48, June.
  69. Jinyu Zhou & Jigao Yan & Dongya Cheng, 2024. "Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples," Statistical Papers, Springer, vol. 65(6), pages 3357-3394, August.
  70. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer, vol. 66(2), pages 75-115, April.
  71. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Linking the problems of estimating and allocating unconditional capital," Documentos de Trabajo del ICAE 2014-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  72. Yiting Fan & Rui Fang, 2022. "Some Results on Measures of Interaction among Risks," Mathematics, MDPI, vol. 10(19), pages 1-19, October.
  73. Ben Salem, Ameni & Safer, Imene & Khefacha, Islem, 2022. "Value-at-Risk (VAR) Estimation Methods: Empirical Analysis based on BRICS Markets," MPRA Paper 113350, University Library of Munich, Germany, revised May 2022.
  74. Kristoffer Andersson & Cornelis W. Oosterlee, 2023. "D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options," Papers 2308.10556, arXiv.org, revised Sep 2023.
  75. Martínez-Salgueiro, Andrea & Tarrazón-Rodón, María-Antonia, 2020. "Is diversification effective in reducing the systemic risk implied by a market for weather index-based insurance in Spain?," MPRA Paper 119924, University Library of Munich, Germany, revised 19 May 2021.
  76. Cai, Jun & Tan, Ken Seng & Weng, Chengguo & Zhang, Yi, 2008. "Optimal reinsurance under VaR and CTE risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 185-196, August.
  77. Adrián F. Rossignolo, 2019. "Basel IV A gloomy future for Expected Shortfall risk models. Evidence from the Mexican Stock Market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 559-582, Agosto 20.
  78. Wong, Woon K., 2008. "Backtesting trading risk of commercial banks using expected shortfall," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1404-1415, July.
  79. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
  80. Nieto, María Rosa, 2010. "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," DES - Working Papers. Statistics and Econometrics. WS ws102814, Universidad Carlos III de Madrid. Departamento de Estadística.
  81. Yuru Sun & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Gael M. Martin, 2023. "Optimal probabilistic forecasts for risk management," Papers 2303.01651, arXiv.org.
  82. Pitera, Marcin & Schmidt, Thorsten, 2018. "Unbiased estimation of risk," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 133-145.
  83. 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.
  84. Y. C. Su & H. C. Huang & Y. J. Lin, 2011. "GJR-GARCH model in value-at-risk of financial holdings," Applied Financial Economics, Taylor & Francis Journals, vol. 21(24), pages 1819-1829, December.
  85. Janis Müller & Peter N. Posch, 2018. "Wrong-way-risk in tails," Journal of Asset Management, Palgrave Macmillan, vol. 19(4), pages 205-215, July.
  86. Kostas Andriosopoulos & Nikos Nomikos, 2012. "Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach," RSCAS Working Papers 2012/47, European University Institute.
  87. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, vol. 70(C).
  88. Abdin, Islam F. & Zio, Enrico, 2018. "An integrated framework for operational flexibility assessment in multi-period power system planning with renewable energy production," Applied Energy, Elsevier, vol. 222(C), pages 898-914.
  89. Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?," Working Papers 2014-18, Faculty of Economic Sciences, University of Warsaw.
  90. Siddique, Md. Abubakar & Nobanee, Haitham & Hasan, Md. Bokhtiar & Uddin, Gazi Salah & Nahiduzzaman, Md., 2024. "Is investing in green assets costlier? Green vs. non-green financial assets," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1460-1481.
  91. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
  92. Alfonso Novales & Laura Garcia-Jorcano, 2019. "Backtesting Extreme Value Theory models of expected shortfall," Documentos de Trabajo del ICAE 2019-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  93. Marcell Béli & Kata Váradi, 2017. "A possible methodology for determining the initial margin," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 16(2), pages 119-147.
  94. Katarzyna Sum, 2016. "A review of individual and systemic risk measures in terms of applicability for banking regulations," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(1), March.
  95. Wei Jiang & Steven Kou, 2021. "Simulating risk measures via asymptotic expansions for relative errors," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 907-942, July.
  96. Weiß, Gregor N.F., 2011. "Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 173-188, May.
  97. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  98. Osmundsen, Kjartan Kloster, 2018. "Using expected shortfall for credit risk regulation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 80-93.
  99. Martin Herdegen & Cosimo Munari, 2023. "An elementary proof of the dual representation of Expected Shortfall," Papers 2306.14506, arXiv.org.
  100. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
  101. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.
  102. Ameni Ben Salem & Imene Safer & Islem Khefacha, 2021. "Value at Risk Estimation For the BRICS Countries : A Comparative Study," Post-Print hal-03502428, HAL.
  103. Giovanni Bonaccolto, 2019. "Critical Decisions for Asset Allocation via Penalized Quantile Regression," Papers 1908.04697, arXiv.org.
  104. Xin Yun & Yanyi Ye & Hao Liu & Yi Li & Kin-Keung Lai, 2023. "Stylized Model of Lévy Process in Risk Estimation," Mathematics, MDPI, vol. 11(6), pages 1-14, March.
  105. Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2021. "Bank stocks, risk factors, and tail behavior," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 203-229.
  106. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  107. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2022. "Carbon credit futures as an emerging asset: Hedging, diversification and downside risks," Energy Economics, Elsevier, vol. 113(C).
  108. Cerqueti, Roy & Giacalone, Massimiliano & Panarello, Demetrio, 2019. "A Generalized Error Distribution Copula-based method for portfolios risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 687-695.
  109. Oscar González-Rojas & Nicolás Castro & Sebastian Lesmes, 2021. "Quantifying Risk Propagation Within a Network of Business Processes and IT Services," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 63(2), pages 129-143, April.
  110. Kellner, Ralf & Rösch, Daniel, 2016. "Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk," Journal of Economic Dynamics and Control, Elsevier, vol. 68(C), pages 45-63.
  111. Nofrianto Nofrianto & Deni Pandu Nugraha & Amanj Mohamed Ahmed & Zaenal Muttaqin & Maria Fekete-Farkas & István Hágen, 2024. "Exploring the Resilience of Islamic Stock in Indonesia and Asian Markets," JRFM, MDPI, vol. 17(6), pages 1-16, June.
  112. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
  113. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
  114. Wang, Li-Hsun & Lin, Chu-Hsiung & Fung, Hung-Gay & Chen, Hsien-Ming, 2015. "Governance mechanisms and downside risk," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 485-498.
  115. Piccoli, Pedro, 2022. "Valuating consumer credit portfolios," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(3).
  116. Huang, Yirong & Luo, Yi, 2024. "Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  117. Alexander F. R. Koivusalo & Rudi Schafer, 2011. "Calibration of structural and reduced-form recovery models," Papers 1102.4864, arXiv.org.
  118. Merlo, Luca & Petrella, Lea & Raponi, Valentina, 2021. "Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 133(C).
  119. Paraschiv, Florentina & Qin, Minzi, 2013. "Extreme Spillover Between Shadow Banking and Regular Banking," Working Papers on Finance 1312, University of St. Gallen, School of Finance.
  120. Quang Trinh, Vu & Duong Cao, Ngan & Li, Teng & Elnahass, Marwa, 2023. "Social capital, trust, and bank tail risk: The value of ESG rating and the effects of crisis shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  121. Jobst, Andreas A., 2013. "Multivariate dependence of implied volatilities from equity options as measure of systemic risk," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 112-129.
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