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NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
16 references·3 citing·34 second hop
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 2004CAViaR2,210 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2010Analysis of Financial Time Series1,035 cited
  • 2002Analysis of Financial Time Series902 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 1987Estimating Tails of Probability Distributions627 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
  • 2003Credit Risk560 cited

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Cited by

  • 2015Filtered Historical Simulation Value-at-Risk Models and Their Competitors58 cited
  • 2021Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models41 cited
  • 2020A data-driven framework for consistent financial valuation and risk measurement28 cited