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Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk
16 references·5 citing·42 second hop
Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk (2016)Quantifying market risk with Value-at-Ris…An Academic Response to Basel 3.5 (2014)An Academic Response to Basel…Making and Evaluating Point Forecasts (2011)Making and Evaluating Point F…Robustness and sensitivity analysis of risk measurement procedures (2010)Robustness and sensitivity an…Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)Worst-Case Conditional Value-…After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)After VaR: The Theory, Estima…Value-at-risk versus expected shortfall: A practical perspective (2004)Value-at-risk versus expected…The use of GARCH models in VaR estimation (2004)The use of GARCH models in Va…Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Worst-Case Value-At-Risk and …Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall (2003)Nonparametric Estimation and …How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)How Accurate Are Value‐at‐Ris…Sensitivity analysis of Values at Risk (2000)Sensitivity analysis of Value…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 RiskRisk 2 : Measuring the Risk in Value at Risk (1996)Risk 2 : Measuring the Risk i…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Knowledge mapping of model risk in banking (2023)Knowledge mapping of model ri…Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk (2022)Comparison of risk forecasts …Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall (2017)Risk quantification for commo…Unbiased Estimation of Risk (2016)Unbiased Estimation of RiskMultiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data (2016)Multiple-Days-Ahead Value-At-…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Global Portfolio Optimization (1992)Martingale Methods in Financial Modelling (1997)Robust Portfolio Selection Problems (2003)Distributionally Robust Optimization and Its Tractable Approximations (2010)60 Years of portfolio optimization: Practical challenges and current trends (2013)Distributionally Robust Stochastic Optimization with Wasserstein Distance (2022)Portfolio Selection (1952)Safety First and the Holding of Assets (1952)Coherent allocation of risk capital (2001)Expected shortfall and beyond (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Evaluating Interval Forecasts (1998)CAViaR (2004)Measuring Market Risk (2005)Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? (2012)Stock Liquidity and Stock Price Crash Risk (2017)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Robust portfolios: contributions from operations research and finance (2009)Robust risk measurement and model risk (2013)Twenty years of linear programming based portfolio optimization (2013)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)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)Convex measures of risk and trading constraints (2002)Entropic Value-at-Risk: A New Coherent Risk Measure (2011)COHERENCE AND ELICITABILITY (2014)What is the best risk measure in practice? A comparison of standard measures (2015)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)A better measure of relative prediction accuracy for model selection and model estimation (2014)Probabilistic Forecasting (2014)Forecasting: theory and practice (2022)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach663 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
  • 2009Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management510 cited
  • 2000Sensitivity analysis of Values at Risk400 cited
  • 2010Robustness and sensitivity analysis of risk measurement procedures372 cited
  • 1996Risk 2 : Measuring the Risk in Value at Risk349 cited
  • 2004Value-at-risk versus expected shortfall: A practical perspective334 cited
  • 2004The use of GARCH models in VaR estimation291 cited
  • 2003Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall274 cited
  • 2014An Academic Response to Basel 3.5

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236 cited
  • 2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures174 cited
  • Cited by

    • 2017Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall41 cited
    • 2016Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data32 cited
    • 2016Unbiased Estimation of Risk25 cited
    • 2022Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk24 cited
    • 2023Knowledge mapping of model risk in banking21 cited