scientific article; zbMATH DE number 5845914

MaRDI QIDQ3072880zbMATH OpenFDO

Authors Qing Yang, Yuning Xue, Ke Jiang

Publication date 5 February 2011

zbMATH Keywords

coherent risk measureextreme financial risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)

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Cited in

(6)

• WVaR measuring models based on extreme value theory and empirical studies
• Measuring the coupled risks: A copula-based CVaR model
• CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory
• Extremal spectral risk measures and their applications in financial risk management
• Extreme VaR scenarios in higher dimensions
• A research based on POT-CAViaR model of extreme risk measure

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