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The exchange rate risk of Chinese yuan: Using VaR and ES based on extreme value theory
11 references·0 citing·35 second hop
The exchange rate risk of Chinese yuan: Using VaR and ES based on extreme value theory (2010)The exchange rate risk of Chinese yuan: U…Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model (2010)Estimating risk of foreign ex…Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Extreme value theory and Valu…Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress (2002)Comparative Analyses of Expec…Value at Risk (2001)Value at RiskFrom value at risk to stress testing: The extreme value approach (2000)From value at risk to stress …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 RiskModelling Extremal Events (1997)Modelling Extremal EventsThe Asymptotic Distribution of Extreme Stock Market Returns (1996)The Asymptotic Distribution o…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)An Introduction to Statistical Modeling of Extreme Values (2001)Copula Methods in Finance (2004)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models? (2012)Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be? (2017)Does green improve portfolio optimisation? (2023)ARCH modeling in finance (1992)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Forecasting economic and financial time-series with non-linear models (2004)The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)Extreme Value Theory and Value at Risk: Application to oil market (2009)Measuring Market Risk (2005)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Social physics (2022)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Extreme Value Theory as a Risk Management Tool (1999)Inference for Clusters of Extreme Values (2003)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Measuring systemic risk: A risk management approach (2005)Supply chain risk management and performance (2007)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2001Value at Risk846 cited
  • 2000From value at risk to stress testing: The extreme value approach517 cited
  • 1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited
  • 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets420 cited
  • 2010Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model67 cited
  • 2002Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress50 cited

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