scientific article; zbMATH DE number 5845914

zbMATH Open1224.91175MaRDI QIDQ3072880FDOQ3072880

Authors: Qing Yang, Yuning Xue, Ke Jiang 

Publication date: 5 February 2011

Title of this publication is not available (Why is that?)

Recommendations

• Extremal financial risk models and portfolio evaluation
• An application of extreme value theory for measuring financial risk
• Evaluating value-at-risk models via quantile regression
• Financial risk management based on quantile regression model
• MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
• Publication:4945630
• scientific article
• Measuring risks in the tail: The extreme VaR and its confidence interval
• Quantification of model risk in quadratic hedging in finance
• Quantification of risk in classical models of finance

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)

Cited In (6)

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

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3072880)