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The level and quality of Value-at-Risk disclosure by commercial banks

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Cited by:

  1. Hammoudeh, Shawkat & Malik, Farooq & McAleer, Michael, 2011. "Risk management of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 435-441.
  2. Muzaffer Akat & Cahit Memis, 2018. "Will Switching From The Var To The Expected Shortfall Provide The Efficiency In The Capital Adequacy? Evidence From The Fx Positions," Eurasian Journal of Business and Management, Eurasian Publications, vol. 6(2), pages 1-13.
  3. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020. "On a robust risk measurement approach for capital determination errors minimization," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
  4. 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).
  5. Alexander, Carol & Han, Yang & Meng, Xiaochun, 2023. "Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1078-1096.
  6. Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
  7. Ibrahim, Awad Elsayed Awad & Hussainey, Khaled & Nawaz, Tasawar & Ntim, Collins & Elamer, Ahmed, 2022. "A systematic literature review on risk disclosure research: State-of-the-art and future research agenda," International Review of Financial Analysis, Elsevier, vol. 82(C).
  8. Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2750-2764.
  9. Hasan, Iftekhar & Siddique, Akhtar & Sun, Xian, 2015. "Monitoring the “invisible” hand of market discipline: Capital adequacy revisited," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 475-492.
  10. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2013. "A comparison of the original and revised Basel market risk frameworks for regulating bank capital," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 249-268.
  11. Mei-Ling Tang & Trung K. Do, 2019. "In search of robust methods for multi-currency portfolio construction by value at risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 107-126, March.
  12. Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
  13. 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.
  14. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
  15. Simone Varotto, 2011. "Liquidity risk, credit risk, market risk and bank capital," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(2), pages 134-152, April.
  16. Dirk Höring & Helmut Gründl, 2011. "Investigating Risk Disclosure Practices in the European Insurance Industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(3), pages 380-413, July.
  17. Christophe Hurlin & Christophe Pérignon, 2012. "Margin Backtesting," Working Papers halshs-00746274, HAL.
  18. Kratz , Marie, 2013. "There is a VaR Beyond Usual Approximations," ESSEC Working Papers WP1317, ESSEC Research Center, ESSEC Business School.
  19. Leonardo Gambacorta & Salvatore Polizzi & Alessio Reghezza & Enzo Scannella, 2023. "Do banks practice what they preach? Brown lending and environmental disclosure in the euro area," BIS Working Papers 1143, Bank for International Settlements.
  20. Juan Ignacio Pe~na & Rosa Rodriguez & Silvia Mayoral, 2022. "Tail Risk of Electricity Futures," Papers 2202.01732, arXiv.org.
  21. 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.
  22. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
  23. Müller, Fernanda Maria & Santos, Samuel Solgon & Righi, Marcelo Brutti, 2023. "A description of the COVID-19 outbreak role in financial risk forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
  24. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2014. "Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 107-130.
  25. Escanciano, Juan Carlos & Pei, Pei, 2012. "Pitfalls in backtesting Historical Simulation VaR models," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2233-2244.
  26. Escanciano, Juan Carlos & Pei, Pei, 2012. "Pitfalls in backtesting Historical Simulation VaR models," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2233-2244.
  27. Pablo Farías, 2014. "Divulgación del valor en riesgo (VaR) previo a la crisis en el sector bancario espanol," Revista Ad-Minister, Universidad EAFIT, July.
  28. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01491990, HAL.
  29. Aljinović Zdravka & Trgo Andrea, 2018. "CVaR in Measuring Sector's Risk on the Croatian Stock Exchange," Business Systems Research, Sciendo, vol. 9(2), pages 8-17, July.
  30. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models-at-risk," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
  31. Peña, Juan Ignacio & Rodríguez, Rosa & Mayoral, Silvia, 2020. "Tail risk of electricity futures," Energy Economics, Elsevier, vol. 91(C).
  32. Al-Hadi, Ahmed & Taylor, Grantley & Hossain, Mahmud, 2015. "Disaggregation, auditor conservatism and implied cost of equity capital: An international evidence from the GCC," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 66-98.
  33. Mai Jan-Frederik & Schenk Steffen & Scherer Matthias, 2015. "Analyzing model robustness via a distortion of the stochastic root: A Dirichlet prior approach," Statistics & Risk Modeling, De Gruyter, vol. 32(3-4), pages 177-195, December.
  34. Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2011. "Evaluating Value-at-Risk Models with Desk-Level Data," Management Science, INFORMS, vol. 57(12), pages 2213-2227, December.
  35. Wang, Jying-Nan & Du, Jiangze & Hsu, Yuan-Teng, 2018. "Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 120-138.
  36. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2013. "Forecasting VaR using analytic higher moments for GARCH processes," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 36-45.
  37. Carol Alexander & Emese Lazar & Silvia Stanescu, 2011. "Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL," ICMA Centre Discussion Papers in Finance icma-dp2011-08, Henley Business School, University of Reading.
  38. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
  39. Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2023. "Is there a risk premium? Evidence from thirteen measures," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 182-199.
  40. Dai, Yun-Shi & Dai, Peng-Fei & Zhou, Wei-Xing, 2023. "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  41. Waqas Ali & Shujahat Ali & Shahid Mehmood, 2020. "Effect of Risk Management Practices on Banks Performance Moderating Role of Managerial Expertise as a Competitive Edge," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 16(1), pages 88-100.
  42. Gordy, Michael B. & McNeil, Alexander J., 2020. "Spectral backtests of forecast distributions with application to risk management," Journal of Banking & Finance, Elsevier, vol. 116(C).
  43. Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.
  44. C. Alexander & M. Coulon & Y. Han & X. Meng, 2024. "Evaluating the discrimination ability of proper multi-variate scoring rules," Annals of Operations Research, Springer, vol. 334(1), pages 857-883, March.
  45. Chen, Zhiping & Yang, Li, 2011. "Nonlinearly weighted convex risk measure and its application," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1777-1793, July.
  46. Chavez-Demoulin, V. & Embrechts, P. & Sardy, S., 2014. "Extreme-quantile tracking for financial time series," Journal of Econometrics, Elsevier, vol. 181(1), pages 44-52.
  47. Lyu, Yongjian & Qin, Fanshu & Ke, Rui & Wei, Yu & Kong, Mengzhen, 2024. "Does mixed frequency variables help to forecast value at risk in the crude oil market?," Resources Policy, Elsevier, vol. 88(C).
  48. Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013. "An Economic Evaluation of Model Risk in Long-term Asset Allocations," Review of International Economics, Wiley Blackwell, vol. 21(3), pages 475-491, August.
  49. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  50. Pérignon, Christophe & Deng, Zi Yin & Wang, Zhi Jun, 2008. "Do banks overstate their Value-at-Risk?," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 783-794, May.
  51. Moumen, Néjia & Ben Othman, Hakim & Hussainey, Khaled, 2015. "The value relevance of risk disclosure in annual reports: Evidence from MENA emerging markets," Research in International Business and Finance, Elsevier, vol. 34(C), pages 177-204.
  52. Antonio Cabrales & Haydée Lugo, 2011. "An impure public good model with lotteries in large grou," Documentos de Trabajo del ICAE 2011-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  53. IORGULESCU Filip, 2012. "The Stylized Facts Of Asset Returns And Their Impact On Value-At-Risk Models," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 0(4), pages 360-368.
  54. 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.
  55. Lyu, Yongjian & Qin, Fanshu & Ke, Rui & Yang, Mo & Chang, Jianing, 2024. "Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory," Energy Economics, Elsevier, vol. 133(C).
  56. Marie Kratz, 2013. "There is a VaR Beyond Usual Approximations," Working Papers hal-00880258, HAL.
  57. Hochradl, Markus & Wagner, Christian, 2010. "Trading the forward bias: Are there limits to speculation?," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 423-441, April.
  58. Chan, Ngai Hang & Sit, Tony, 2016. "Artifactual unit root behavior of Value at risk (VaR)," Statistics & Probability Letters, Elsevier, vol. 116(C), pages 88-93.
  59. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
  60. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
  61. Beverly Hirtle, 2016. "Public disclosure and risk-adjusted performance at bank holding companies," Economic Policy Review, Federal Reserve Bank of New York, issue Aug, pages 151-173.
  62. Lyu, Yongjian & Wang, Peng & Wei, Yu & Ke, Rui, 2017. "Forecasting the VaR of crude oil market: Do alternative distributions help?," Energy Economics, Elsevier, vol. 66(C), pages 523-534.
  63. repec:hal:journl:hal-00880258 is not listed on IDEAS
  64. Fu, Tianwen & Zhuang, Xinkai & Hui, Yongchang & Liu, Jia, 2017. "Convex risk measures based on generalized lower deviation and their applications," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 27-37.
  65. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
  66. Iulia Lupu & Ana Barbara Bobirca & Paul Gabriel Miclaus & Tudor Ciumara, 2020. "Risk Management of Companies Included in the EURO STOXX Sustainability Index. An Investors' Perception," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 22(55), pages 707-707, August.
  67. Fernanda Maria Müller & Marcelo Brutti Righi, 2024. "Comparison of Value at Risk (VaR) Multivariate Forecast Models," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 75-110, January.
  68. Hammoudeh, Shawkat & Araújo Santos, Paulo & Al-Hassan, Abdullah, 2013. "Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 318-334.
  69. Grassa, Rihab & Moumen, Nejia & Hussainey, Khaled, 2020. "Is bank creditworthiness associated with risk disclosure behavior? Evidence from Islamic and conventional banks in emerging countries," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
  70. Sabiwalsky, Ralf, 2012. "Does Basel II pillar 3 risk exposure data help to identify risky banks?," SFB 649 Discussion Papers 2012-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  71. Al-Hadi, Ahmed & Al-Yahyaee, Khamis Hamed & Hussain, Syed Mujahid & Taylor, Grantley, 2019. "Market risk disclosures and corporate governance structure: Evidence from GCC financial firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 136-150.
  72. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "Bank regulation and stability: An examination of the Basel market risk framework," Discussion Papers 09/2012, Deutsche Bundesbank.
  73. Haugom, Erik & Ray, Rina & Ullrich, Carl J. & Veka, Steinar & Westgaard, Sjur, 2016. "A parsimonious quantile regression model to forecast day-ahead value-at-risk," Finance Research Letters, Elsevier, vol. 16(C), pages 196-207.
  74. Khandani, Amir E. & Kim, Adlar J. & Lo, Andrew W., 2010. "Consumer credit-risk models via machine-learning algorithms," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2767-2787, November.
  75. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2014. "Realized volatility models and alternative Value-at-Risk prediction strategies," Economic Modelling, Elsevier, vol. 40(C), pages 101-116.
  76. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
  77. Malafronte, Irma & Porzio, Claudio & Starita, Maria Grazia, 2016. "The nature and determinants of disclosure practices in the insurance industry: Evidence from European insurers," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 367-382.
  78. Ledermann, Daniel & Alexander, Carol, 2012. "Further properties of random orthogonal matrix simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 56-79.
  79. Foguesatto, Cristian Rogério & Righi, Marcelo Brutti & Müller, Fernanda Maria, 2024. "Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  80. Ewa Ratuszny, 2015. "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 129-156.
  81. Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, University of Reading.
  82. 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.
  83. Cristina Danciulescu, 2010. "Backtesting Value-at-Risk Models: A Multivariate Approach," CAEPR Working Papers 2010-004, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  84. Pang, Li-Ping & Chen, Shuang & Wang, Jin-He, 2015. "Risk management in portfolio applications of non-convex stochastic programming," Applied Mathematics and Computation, Elsevier, vol. 258(C), pages 565-575.
  85. Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
  86. Krishan Mohan Nagpal, 2024. "Portfolio Stress Testing and Value at Risk (VaR) Incorporating Current Market Conditions," Papers 2409.18970, arXiv.org.
  87. Tobias Schlüter & Thomas Hartmann-Wendels & Tim Weber & Michael Zander, 2014. "Die Risikoberichterstattung deutscher Banken: Erhebung des Branchenstandards," Schmalenbach Journal of Business Research, Springer, vol. 66(5), pages 386-427, August.
  88. Seixas, Mário & Barbosa, António, 2019. "Optimal Value-at-Risk Disclosure," MPRA Paper 97526, University Library of Munich, Germany.
  89. Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
  90. 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.
  91. repec:hum:wpaper:sfb649dp2012-008 is not listed on IDEAS
  92. Trapp, Rouven & Weiß, Gregor N.F., 2016. "Derivatives usage, securitization, and the crash sensitivity of bank stocks," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 183-205.
  93. 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.).
  94. Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.
  95. Fernanda Maria Müller & Marcelo Brutti Righi, 2018. "Numerical comparison of multivariate models to forecasting risk measures," Risk Management, Palgrave Macmillan, vol. 20(1), pages 29-50, February.
  96. Apergis, Emmanuel & Apergis, Iraklis & Apergis, Nicholas, 2019. "A new macro stress testing approach for financial realignment in the Eurozone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 52-80.
  97. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
  98. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "A robust confidence interval of historical Value-at-Risk for small sample," Documents de travail du Centre d'Economie de la Sorbonne 16034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  99. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Documents de travail du Centre d'Economie de la Sorbonne 16034rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
  100. Basu, Sanjay, 2011. "Comparing simulation models for market risk stress testing," European Journal of Operational Research, Elsevier, vol. 213(1), pages 329-339, August.
  101. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Post-Print halshs-01317391, HAL.
  102. Hood, Matthew & Malik, Farooq, 2018. "Estimating downside risk in stock returns under structural breaks," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 102-112.
  103. Sorwar, Ghulam & Dowd, Kevin, 2010. "Estimating financial risk measures for options," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1982-1992, August.
  104. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure," Post-Print halshs-01277880, HAL.
  105. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01277880, HAL.
  106. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2015. "A comparison of Expected Shortfall estimation models," Journal of Economics and Business, Elsevier, vol. 78(C), pages 14-47.
  107. Carol Alexander & Walter Ledermann & Daniel Ledermann, 2009. "Exact Moment Simulation using Random Orthogonal Matrices," ICMA Centre Discussion Papers in Finance icma-dp2009-09, Henley Business School, University of Reading.
  108. Ormazabal, Gaizka & Barth, Mary E. & Badia, Marc & Duro, Miguel, 2017. "Firm Risk and Disclosures about Dispersion in Asset Values:," CEPR Discussion Papers 12144, C.E.P.R. Discussion Papers.
  109. Hidaya Al Lawati, 2022. "Politically Connected Firms and Forward-Looking Disclosure in the Era of Oman Vision 2040," JRFM, MDPI, vol. 15(6), pages 1-22, May.
  110. Marie Kratz, 2013. "There is a VaR beyond usual approximations," Papers 1311.0270, arXiv.org.
  111. Nikola Radivojević & Nikola V. Ćurčić & Djurdjica Dj. Vukajlović, 2017. "Hull-White’s value at risk model: case study of Baltic equities market," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 18(5), pages 1023-1041, September.
  112. Thor Pajhede, 2015. "Backtesting Value-at-Risk: A Generalized Markov Framework," Discussion Papers 15-18, University of Copenhagen. Department of Economics.
  113. Wang, Jying-Nan & Yeh, Jin-Huei & Cheng, Nick Ying-Pin, 2011. "How accurate is the square-root-of-time rule in scaling tail risk: A global study," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1158-1169, May.
  114. Xin Chen & Zhangming Shan & Decai Tang & Biao Zhou & Valentina Boamah, 2023. "Interest rate risk of Chinese commercial banks based on the GARCH-EVT model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-11, December.
  115. 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.
  116. Lars Ericson & Xuejun Zhu & Xusi Han & Rao Fu & Shuang Li & Steve Guo & Ping Hu, 2024. "Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review," Papers 2401.10370, arXiv.org.
  117. Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L., 2017. "Mean-VaR portfolio optimization: A nonparametric approach," European Journal of Operational Research, Elsevier, vol. 260(2), pages 751-766.
  118. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Post-Print halshs-01491990, HAL.
  119. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure," Documents de travail du Centre d'Economie de la Sorbonne 16006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  120. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Documents de travail du Centre d'Economie de la Sorbonne 17019, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  121. Miihkinen, Antti, 2013. "The usefulness of firm risk disclosures under different firm riskiness, investor-interest, and market conditions: New evidence from Finland," Advances in accounting, Elsevier, vol. 29(2), pages 312-331.
  122. Al-Hadi, Ahmed & Taylor, Grantley & Al-Yahyaee, Khamis Hamed, 2016. "Ruling Family Political Connections and Risk Reporting: Evidence from the GCC," The International Journal of Accounting, Elsevier, vol. 51(4), pages 504-524.
  123. Pablo Cristini Guedes & Fernanda Maria Müller & Marcelo Brutti Righi, 2023. "Risk measures-based cluster methods for finance," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-56, March.
  124. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01317391, HAL.
  125. Mahmoud Haddad & Sam Hakim, 2014. "Using Risk Disclosures of Lage GCC Bank to Evaluate Information Content," Working Papers 863, Economic Research Forum, revised Nov 2014.
  126. Waqas Ali & Shujahat Ali & Shahid Mehmood, 2020. "Effect of Risk Management Practices on Banks Performance Moderating Role of Managerial Expertise as a Competitive Edge," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 16(1), pages 16-17.
  127. Sant’Anna, Leonardo Riegel & Righi, Marcelo Brutti & Müller, Fernanda Maria & Guedes, Pablo Cristini, 2022. "Risk measure index tracking model," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 361-383.
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