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VaR-x: Fat Tails in Financial Risk Management

Citations

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Cited by:

  1. Huisman, R. & Huurman, C., 2003. "Fat Tails in Power Prices," ERIM Report Series Research in Management ERS-2003-059-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  2. Knowledge Chinhamu & Chun-Kai Huang & Chun-Sung Huang & Jahvaid Hammujuddy, 2015. "Empirical Analyses of Extreme Value Models for the South African Mining Index," South African Journal of Economics, Economic Society of South Africa, vol. 83(1), pages 41-55, March.
  3. A. Amendola & V. Candila, 2016. "Evaluation of volatility predictions in a VaR framework," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 695-709, May.
  4. Wagner, Niklas & Marsh, Terry A., 2005. "Measuring tail thickness under GARCH and an application to extreme exchange rate changes," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 165-185, January.
  5. Longin, François, 1999. "From Value at Risk to Stress Testing: The Extreme Value Approach," CEPR Discussion Papers 2161, C.E.P.R. Discussion Papers.
  6. Samia Omrane, 2012. "An Analysis of Exchange Rate Risk Exposure Related to the Public Debt Portfolio of Tunisia: Beyond VaR Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(1), pages 59-87, March.
  7. Kyritsis, Evangelos & Serletis, Apostolos, 2018. "The zero lower bound and market spillovers: Evidence from the G7 and Norway," Research in International Business and Finance, Elsevier, vol. 44(C), pages 100-123.
  8. de Jesús, Raúl & Ortiz, Edgar & Cabello, Alejandra, 2013. "Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 139-152.
  9. Campbell, Rachel & Huisman, Ronald & Koedijk, Kees, 2001. "Optimal portfolio selection in a Value-at-Risk framework," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1789-1804, September.
  10. Horváth, Roman & Šopov, Boril, 2016. "GARCH models, tail indexes and error distributions: An empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 1-15.
  11. Pownall, Rachel A. J. & Koedijk, Kees G., 1999. "Capturing downside risk in financial markets: the case of the Asian Crisis," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 853-870, December.
  12. Lin, Chu-Hsiung & Changchien, Chang-Cheng & Kao, Tzu-Chuan & Kao, Wei-Shun, 2014. "High-order moments and extreme value approach for value-at-risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 421-434.
  13. Alexander, Carol & Sheedy, Elizabeth, 2008. "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2220-2236, October.
  14. Tan, Kok-Hui & Chan, Inn-Leng, 2003. "Stress testing using VaR approach--a case for Asian currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 39-55, February.
  15. Timmy Elenjical & Patrick Mwangi & Barry Panulo & Chun-Sung Huang, 2016. "A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models: Evidence from the Johannesburg stock exchange," Risk Management, Palgrave Macmillan, vol. 18(2), pages 89-110, August.
  16. Vladimir Rankovic & Mikica Drenovak & Branko Uroševic & Ranko Jelic, 2016. "Mean Univariate-GARCH VaR Portfolio Optimization: Actual Portfolio Approach," CESifo Working Paper Series 5731, CESifo.
  17. Jolanta Tamošaitienė & Vahidreza Yousefi & Hamed Tabasi, 2021. "Project Portfolio Construction Using Extreme Value Theory," Sustainability, MDPI, vol. 13(2), pages 1-13, January.
  18. Campbell-Pownall, R.A.J. & Huisman, R., 2002. "Measuring Credit Spread Risk," ERIM Report Series Research in Management ERS-2002-95-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  19. Gita Persand & Chris Brooks, 2003. "Volatility forecasting for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 1-22.
  20. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 287-309, March.
  21. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
  22. Ranković, Vladimir & Ivanović, Miloš & Urošević, Branko & Jelic, Ranko, 2017. "Market risk management in a post-Basel II regulatory environmentAuthor-Name: Drenovak, Mikica," European Journal of Operational Research, Elsevier, vol. 257(3), pages 1030-1044.
  23. Puneet Prakash & Vikas Sangwan & Kewal Singh, 2021. "Transformational Approach to Analytical Value-at-Risk for near Normal Distributions," JRFM, MDPI, vol. 14(2), pages 1-19, January.
  24. Lesedi Mabitsela & Eben Maré & Rodwell Kufakunesu, 2015. "Quantification of VaR: A Note on VaR Valuation in the South African Equity Market," JRFM, MDPI, vol. 8(1), pages 1-24, February.
  25. Branko Uroševic & Mikica Drenovak & Vladimir Rankovic & Ranko Jelic & Milos Ivanovic, 2016. "Market Risk Management in a Post-Basel II Regulatory Environment," CESifo Working Paper Series 6293, CESifo.
  26. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2021. "Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data," Papers 2102.12783, arXiv.org, revised Feb 2022.
  27. Birbil, S.I. & Frenk, J.B.G. & Kaynar, B. & N. Nilay, N., 2008. "Risk measures and their applications in asset management," Econometric Institute Research Papers EI 2008-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  28. Chiu, Chun-Yuan & Dai, Tian-Shyr & Lyuu, Yuh-Dauh, 2015. "Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 418-437.
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