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Value at Risk Calculations, Extreme Events, and Tail Estimation
3 references·16 citing·46 second hop
Value at Risk Calculations, Extreme Events, and Tail Estimation (2000)Value at Risk Calculations, Extreme Event…Modelling Extremal Events (1997)Modelling Extremal EventsNonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…Estimating Tails of Probability Distributions (1987)Estimating Tails of Probabili…Risk modelling of ESG (environmental, social, and governance), healthcare, and financial sectors (2023)Risk modelling of ESG (enviro…EXTREME VALUE THEORY IN FINANCE: A SURVEY (2013)EXTREME VALUE THEORY IN FINAN…Time series analysis for financial market meltdowns (2010)Time series analysis for fina…Extreme Risk Measures for International REIT Markets (2010)Extreme Risk Measures for Int…Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model (2010)Estimating risk of foreign ex…Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models (2009)Conditional Quantile Estimati…Extreme US stock market fluctuations in the wake of 9/11 (2008)Extreme US stock market fluct…Evaluating predictive performance of value-at-risk models in emerging markets: a reality check (2006)Evaluating predictive perform…Empirical study of value‐at‐risk and expected shortfall models with heavy tails (2006)Empirical study of value‐at‐r…Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance (2005)Estimation of Value-at-Risk b…A comparison of extreme value theory approaches for determining value at risk (2005)A comparison of extreme value…Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature (2004)Incorporating Systemic Influe…The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates (2003)The Effect of Asymmetries on …Disturbing extremal behavior of spot rate dynamics (2003)Disturbing extremal behavior …On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall (2002)On the Validity of Value-at-R…An introduction to market risk measurement (2002)An introduction to market ris…Theory of Financial Decision Making. 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this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 1987Estimating Tails of Probability Distributions627 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited

Cited by

  • 2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality check218 cited
  • 2009Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models163 cited
  • 2005A comparison of extreme value theory approaches for determining value at risk147 cited
  • 2002An introduction to market risk measurement138 cited
  • 2002On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall130 cited
  • 2008Extreme US stock market fluctuations in the wake of 9/11122 cited
  • 2013EXTREME VALUE THEORY IN FINANCE: A SURVEY112 cited
  • 2004Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature100 cited
  • 2010Time series analysis for financial market meltdowns89 cited
  • 2003The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates80 cited
  • 2005Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance72 cited

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2006
Empirical study of value‐at‐risk and expected shortfall models with heavy tails
71 cited
  • 2010Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model67 cited
  • 2023Risk modelling of ESG (environmental, social, and governance), healthcare, and financial sectors65 cited
  • 2010Extreme Risk Measures for International REIT Markets63 cited
  • 2003Disturbing extremal behavior of spot rate dynamics62 cited