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22 981 (0,15s) •

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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
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  • D
Result

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
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  • Jimp
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  • Link
Result

Risk measures and their practical consequences

Main topics of the document: risk measures; VaR; expected shortfall; expectiles...

Finance

  • 2018
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Result

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
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  • Jimp
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  • Link
Result

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
Result

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
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  • D
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  • Link
Result

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
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  • D
Result

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
Result

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
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  • D
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  • Link
Result

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
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  • O
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