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Value-at-Risk models and Basel capital charges
16 references·3 citing·25 second hop
Value-at-Risk models and Basel capital charges (2011)Value-at-Risk models and Basel capital ch…Quantitative Risk Management (2011)Quantitative Risk ManagementValue-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Value-at-Risk Prediction: A C…Measuring Market Risk (2005)Measuring Market RiskA forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…On the coherence of expected shortfall (2002)On the coherence of expected …An Introduction to Statistical Modeling of Extreme Values (2002)An Introduction to Statistica…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Coherent Measures of Risk (1999)Coherent Measures of RiskBeyond Value at Risk: The New Science of Risk Management (1998)Beyond Value at Risk: The New…Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Residual Life Time at Great Age (1974)Residual Life Time at Great A…A Conceptual Model of Investment-Risk Prediction in the Stock Market Using Extreme Value Theory with Machine Learning: A Semisystematic Literature Review (2023)A Conceptual Model of Investm…Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal, Ireland, Greece and Spain (PIGS) (2012)Market crises and Basel capit…Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence (2012)Forecasting value-at-risk and…Extreme Values, Regular Variation and Point Processes (1987)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)ARCH modeling in finance (1992)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)Idea Generation and the Quality of the Best Idea (2010)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Extreme Correlation of International Equity Markets (2001)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
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References

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  • 1999Coherent Measures of Risk8,849 cited
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  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
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  • 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies635 cited
  • 2005Measuring Market Risk489 cited

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1998
Beyond Value at Risk: The New Science of Risk Management
489 cited

Cited by

  • 2012Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence48 cited
  • 2012Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal, Ireland, Greece and Spain (PIGS)40 cited
  • 2023A Conceptual Model of Investment-Risk Prediction in the Stock Market Using Extreme Value Theory with Machine Learning: A Semisystematic Literature Review35 cited