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The Comparison of Value at Risk and Expected Shortfall within Solvency II
on characterization of the methods Value at Risk and Expected Shortfall. For given portfolio we determinated Value at Risk and Expected Shortfall for confidence interval. In conclusion we made sensitive analysis o...
AH - Ekonomie
- 2009 •
- D
Rok uplatnění
D - Stať ve sborníku
TERES: Tail Event Risk Expectile Shortfall
We propose a generalized risk measure for expectile-based expected shortfall expectiles and expected shortfall. We investigate the sensitivity and robustness of the expected shortfall to the under...
Statistics and probability
- 2021 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Risk measures and their practical consequences
Main topics of the document: risk measures; VaR; expected shortfall; expectiles...
Finance
- 2018 •
- D
Rok uplatnění
D - Stať ve sborníku
Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies
Main topics of the document: cryptocurrency; bitcoin; volatility models; value at risk; expected shortfall; high-low range; robust estimation; outliers......
Finance
- 2024 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
THE DETERMINATION OF THE CAPITAL REQUIREMENT FOR MARKET RISK IN THE CONTEXT OF SOLVENCY II
focused on characterization of the methods Value at Risk and Expected Shortfall. For given portfolio we determinated Value at Risk and Expected Shortfall for confidence interval. In conclusion we made sensitive an...
AH - Ekonomie
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Marginal expected shortfall: the Czech PX index case study
expected shortfall measure is based on the well-known concept of the expected shortfall. More specifically, it can be regarded as a conditional version of the expected shortfall in which the glob...
Statistics and probability
- 2017 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Estimation of Risk Premium: Bond Issuer's Approach
Main topics of the document: risk premium; refinancing risk; value at risk; expected shortfall...
AH - Ekonomie
- 2012 •
- D
Rok uplatnění
D - Stať ve sborníku
A Comparison of EVT and Standard VaR Estimations
Main topics of the document: risk measurement; value at risk; extreme value theory; GARCH; expected shortfall; backtesting...
AH - Ekonomie
- 2012 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Risk Measures Prediction and Its Sensitivity to the Refit Step: A Score-Driven Approach
Main topics of the document: expected shortfall; generalized autoregressive score model; prediction; value at risk...
Statistics and probability
- 2020 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Estimation of Expected Shortfall in Linear Model
The possibly incurred loss of a portfolio can be linearly affected by unobservable covariates, while we observe only the resulting response. We propose the method of estimating the true loss with the aidnof regression quantiles.n......
Statistics and probability
- 2023 •
- O
Rok uplatnění
O - Ostatní výsledky
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