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Pei Pei

Personal Details

First Name:Pei
Middle Name:
Last Name:Pei
Suffix:
RePEc Short-ID:ppe577
[This author has chosen not to make the email address public]

Affiliation

Chinese Academy of Finance and Development
Central University of Finance and Economics (CUFE)

Beijing, China
http://cafd.cufe.edu.cn/

:


RePEc:edi:fdcufcn (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Juan Carlos Escanciano & Pei Pei, 2012. "Pitfalls in Backtesting Historical Simulation VaR Models," Caepr Working Papers 2012-003, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  2. Pei Pei, 2010. "Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights," Caepr Working Papers 2010-010, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Juan Carlos Escanciano & Pei Pei, 2012. "Pitfalls in Backtesting Historical Simulation VaR Models," Caepr Working Papers 2012-003, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.

    Cited by:

    1. Juan Carlos Escanciano & Zaichao Du, 2015. "Backtesting Expected Shortfall: Accounting for Tail Risk," Caepr Working Papers 2015-001, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    2. Onder Buberkoku, 2018. "Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities," International Journal of Economics and Financial Issues, Econjournals, vol. 8(3), pages 36-50.
    3. Christophe Boucher & Jón Daníelsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk model-at-risk," Post-Print hal-01370130, HAL.
    4. Yun-Tao Shi & Xiang Xiang & Li Wang & Yuan Zhang & De-Hui Sun, 2018. "Stochastic Model Predictive Fault Tolerant Control Based on Conditional Value at Risk for Wind Energy Conversion System," Energies, MDPI, Open Access Journal, vol. 11(1), pages 1-20, January.
    5. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    6. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, Open Access Journal, vol. 6(2), pages 1-28, June.
    7. Lyu, Yongjian & Wang, Peng & Wei, Yu & Ke, Rui, 2017. "Forecasting the VaR of crude oil market: Do alternative distributions help?," Energy Economics, Elsevier, vol. 66(C), pages 523-534.
    8. Durán Santomil, Pablo & Otero González, Luís & Martorell Cunill, Onofre & Merigó Lindahl, José M., 2018. "Backtesting an equity risk model under Solvency II," Journal of Business Research, Elsevier, vol. 89(C), pages 216-222.
    9. Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014. "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 29-41.
    10. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
    11. Gregor Wei{ss} & Marcus Scheffer, 2012. "Smooth Nonparametric Bernstein Vine Copulas," Papers 1210.2043, arXiv.org.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (2) 2010-12-18 2012-03-28. Author is listed
  2. NEP-ECM: Econometrics (2) 2010-12-18 2012-03-28. Author is listed
  3. NEP-RMG: Risk Management (2) 2010-12-18 2012-03-28. Author is listed
  4. NEP-CMP: Computational Economics (1) 2012-03-28. Author is listed
  5. NEP-ETS: Econometric Time Series (1) 2012-03-28. Author is listed
  6. NEP-FOR: Forecasting (1) 2012-03-28. Author is listed

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