VaR and expected shortfall: a non-normal regime switching framework

DOI10.1080/14697680902849320MaRDI QIDQ3182749zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Hong Miao

Publication date 16 October 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/10217/206887

zbMATH Keywords

asset pricingcapital structurecopulascorporate finance

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• Coherent measures of risk
• Drift and volatility estimation in discrete time
• Option prices under Bayesian learning: implied volatility dynamics and predictive densities
• Stochastic Volatility Model with Filtering
• VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
• Value-at-risk in a market subject to regime switching

Cited in

(6)

• An \texttt{R} package for value at risk and expected shortfall
• Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
• Downside risk measurement in regime switching stochastic volatility
• Computation of expected shortfall by fast detection of worst scenarios
• Expected Shortfall Under a Model With Market and Credit Risks
• Value-at-risk in a market subject to regime switching

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