Estimation of value at risk: extreme value and robust approaches
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Cites work
- scientific article; zbMATH DE number 3954047 (Why is no real title available?)
- scientific article; zbMATH DE number 4007433 (Why is no real title available?)
- scientific article; zbMATH DE number 3782216 (Why is no real title available?)
- Robust Estimation of a Location Parameter
- Robust estimation of tail parameters for two-parameter Pareto and exponential models via generalized quantile statistics
- Robust estimation of the generalized Pareto distribution
- Robust Statistics
- SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
Cited in
(37)- Estimating financial risk under time-varying extremal return behavior
- High volatility, thick tails and extreme value theory in value-at-risk estimation.
- Extreme value analysis of actuarial risks: estimation and model validation
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Extremal forex returns in extremely large data sets
- Robustification and performance evaluation of empirical risk measures and other vector-valued estimators
- Avoiding zero probability events when computing value at risk contributions
- GFC-robust risk management under the Basel accord using extreme value methodologies
- A detailed comparison of value at risk estimates
- Value at risk: Recent advances
- Estimation of tail-related value-at-risk measures: range-based extreme value approach
- Risk measures and Pareto style tails
- Multivariate heavy-tailed models for value-at-risk estimation
- Practical problems of risk estimation in the analysis of daily time series
- Value at risk estimation
- Quantile regression estimation for VaR of P-GARCH processes
- Conditional value-at-risk and average value-at-risk: estimation and asymptotics
- Robust estimation of historical volatility and correlations in risk management
- scientific article; zbMATH DE number 5668415 (Why is no real title available?)
- Extreme Value Modeling and Risk Analysis
- Extreme value theory and VaR computation
- A study of two estimation methods for EVT
- Saddle point approximation and volatility estimation of value-at-risk
- Abnormal returns, risk, and options in large data sets
- Nonparametric Estimation for Risk in Value-at-Risk Estimator
- Semiparametric estimation of Value at Risk
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- Empirical Issues in Value-at-Risk
- Two-step methods in VaR prediction and the importance of fat tails
- scientific article; zbMATH DE number 1449652 (Why is no real title available?)
- Conditional tail behaviour and Value at Risk
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
- Estimation of value at risk by extreme value methods
- Performance of a hedged stochastic portfolio model in the presence of extreme events
- An Extensive Comparison of Some Well‐Established Value at Risk Methods
- Distributionally robust inference for extreme value-at-risk
- Conditional VaR estimation using Pearson's type IV distribution
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