Strategic long-term financial risks: single risk factors

DOI10.1007/s10589-005-2054-7zbMath1085.90024OpenAlexW2078568918MaRDI QIDQ2574059

Roger Kaufmann, Paul Embrechts, Pierre Patie

Publication date: 16 November 2005

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/31605

zbMATH Keywords

random walkextreme value theoryvalue-at-riskautoregressive modelGARCH processexpected shortfallscaling rules

Mathematics Subject Classification ID

Related Items (8)

A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL ⋮ Spatial risk measures and applications to max-stable processes ⋮ Modelling exchange rate returns: which flexible distribution to use? ⋮ Option pricing with discrete time jump processes ⋮ Revisiting the Edge, Ten Years On ⋮ Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles ⋮ Required capital for long-run risks ⋮ Estimation methods for expected shortfall

Uses Software

• RiskMetrics

Cites Work

• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Processes of normal inverse Gaussian type
• Extremal forex returns in extremely large data sets
• Hyperbolic distributions in finance
• Coherent Measures of Risk
• Temporal Aggregation of Garch Processes
• Dual Stochastic Dominance and Related Mean-Risk Models
• Portfolio Analysis in a Stable Paretian Market
• Long memory and regime switching
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