Estimation of value at risk: extreme value and robust approaches
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Publication:5077796
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Cited in
(36)- A detailed comparison of value at risk estimates
- Robustification and performance evaluation of empirical risk measures and other vector-valued estimators
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- Conditional tail behaviour and Value at Risk
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- Quantile regression estimation for VaR of P-GARCH processes
- GFC-robust risk management under the Basel accord using extreme value methodologies
- Estimation of value at risk by extreme value methods
- Semiparametric estimation of Value at Risk
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- An Extensive Comparison of Some Well‐Established Value at Risk Methods
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Value at risk estimation
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- Performance of a hedged stochastic portfolio model in the presence of extreme events
- A study of two estimation methods for EVT
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