Nothing Special   »   [go: up one dir, main page]
create a website
A robust confidence interval of historical Value-at-Risk for small sample. (2016). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K.
In: Documents de travail du Centre d'Economie de la Sorbonne.
RePEc:mse:cesdoc:16034.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 25

References cited by this document

Cocites: 52

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. A. N. Pettitt. A two-sample anderson-darling rank statistic. Biometrika, 63(1):161–168, 1976.
    Paper not yet in RePEc: Add citation now
  2. Basel Committee on Banking Supervision. Amendment to the Capital Accord to incorporate market risks. Working Paper , 2005.
    Paper not yet in RePEc: Add citation now
  3. C. Field and E. Ronchetti. Small sample asymptotics. Institute of Mathematical Statistics, Hayward, CA, 1990.
    Paper not yet in RePEc: Add citation now
  4. C. Goutis and G. Casella. Explaining the saddlepoint approximation. The American Statistician, 53(3):216–224, 1999.
    Paper not yet in RePEc: Add citation now
  5. C. Ma and J. Robinson. Saddlepoint approximation for sample and bootstrap quantiles. Australian & New Zealand Journal of Statistics, 40(4):479– 486, 1998.
    Paper not yet in RePEc: Add citation now

  6. C. Ma and J. Robinson. Saddlepoint approximations for the difference of order statistics and studentized sample quantiles. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 61(3):563–577,, 1999.

  7. C. Pérignon and D.R. Smith. The level and quality of value-at-risk disclosure by commercial banks. Journal of Banking & Finance, 34(2):362–377, 2010.

  8. C. R. Rao. Linear statistical inference and its applications. John Wiley & Sons, Hoboken, 2 edition, 2002.
    Paper not yet in RePEc: Add citation now

  9. D. Guégan, B. Hassani, and K. Li. The Spectral Stress VaR (SSVaR). Centre d’Économie de la Sorbonne Working Paper, 2015.

  10. D. Guégan, B. Hassani, and K. Li. Uncertainty in historical Value-atRisk: an alternative quantile-based risk measure. Centre d’Économie de la Sorbonne Working Paper, 2016.

  11. D. M. Kaplan. Improved quantile inference via fixed-smoothing asymptotics and edgeworth expansion. Journal of Econometrics, 185(1):20–32, 2015.

  12. F. Godin, S. Mayoral, and M. Morales. Contingent claim pricing using a normal inverse gaussian probability distortion operator. The Journal of Risk and Insurance, 79(3):841–866, 2012.

  13. F. M. Longin. From value at risk to stress testing: The extreme value approach. Journal of Banking & Finance, 24(7):1097–1130, 2000. Documents de travail du Centre d'Economie de la Sorbonne - 2016.34

  14. G. S. Easton and E. Ronchetti. General Saddlepoint Approximations with Applications to L Statistics. Journal of the American Statistical Associa300 tion, 81(394):420–430, 1986.
    Paper not yet in RePEc: Add citation now
  15. H. E. Daniels. Saddlepoint approximations in statistics. The Annals of Mathematical Statistics, 25(4):631–650, 1954. Documents de travail du Centre d'Economie de la Sorbonne - 2016.34
    Paper not yet in RePEc: Add citation now

  16. M. Pritsker. Evaluating value at risk methodologies: Accuracy versus com335 putational time. Journal of Financial Services Research, 12(2–3):201–242, 1997.

  17. N. Reid. Saddlepoint methods and statistical inference. Statistical Science, 3(2):213–227,, 1988.
    Paper not yet in RePEc: Add citation now
  18. O. E. Barndorff-Nielsen. Modified signed log likelihood ratio. Biometrika, 78(3):557–563, 1991.
    Paper not yet in RePEc: Add citation now
  19. P. Christoffersen and S. Gonçalves. Estimation risk in financial risk man295 agement. Journal of Risk, 7(3):1–28, 2005.
    Paper not yet in RePEc: Add citation now
  20. P. Hall and S. J. Sheather. On the distribution of a studentized quantile. Journal of the Royal Statistical Society: Series B, 50(3):381–391, 1988.
    Paper not yet in RePEc: Add citation now
  21. P. Jorion. Risk2: Measuring the risk in value at risk. Financial Analysts Journal, 52(6):47–56, 1996.
    Paper not yet in RePEc: Add citation now
  22. P. Jorion. Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill, New York, 3 edition, 2006.
    Paper not yet in RePEc: Add citation now
  23. R. D. Reiss. Asymptotic expansions for sample quantiles. The Annals of Probability, 4(2):249–258, 1976.
    Paper not yet in RePEc: Add citation now

  24. S. Wang. One-step saddlepoint approximations for quantiles. Computational Statistics & Data Analysis, 20(1):65–74, 1995.

  25. V. Bignozzi and A. Tsanakas. Parameter uncertainty and residual estimation risk. Journal of Risk and Insurance, page Forthcoming. , 2015.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Spectral backtests of forecast distributions with application to risk management. (2019). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen .
    In: Papers.
    RePEc:arx:papers:1708.01489.

    Full description at Econpapers || Download paper

  2. On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti.
    In: Papers.
    RePEc:arx:papers:1707.09829.

    Full description at Econpapers || Download paper

  3. Impact of multimodality of distributions on VaR and ES calculations. (2017). Li, Kehan ; Hassani, Bertrand ; Guegan, Dominique.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:17019.

    Full description at Econpapers || Download paper

  4. Measuring risks in the extreme tail: The extreme VaR and its confidence interval. (2017). Guegan, Dominique ; Hassani, Bertrand K ; Li, Kehan.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:16034rr.

    Full description at Econpapers || Download paper

  5. Impact of multimodality of distributions on VaR and ES calculations. (2017). Li, Kehan ; Hassani, Bertrand ; Guegan, Dominique.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01491990.

    Full description at Econpapers || Download paper

  6. Measuring risks in the extreme tail: The extreme VaR and its confidence interval. (2017). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01317391.

    Full description at Econpapers || Download paper

  7. An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

    Full description at Econpapers || Download paper

  8. CEO turnover in large banks: Does tail risk matter?. (2017). Mollah, Sabur ; Vallascas, Francesco ; Keasey, Kevin ; Srivastav, Abhishek.
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:64:y:2017:i:1:p:37-55.

    Full description at Econpapers || Download paper

  9. Convex risk measures based on generalized lower deviation and their applications. (2017). Fu, Tianwen ; Liu, Jia ; Hui, Yongchang ; Zhuang, Xinkai .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:52:y:2017:i:c:p:27-37.

    Full description at Econpapers || Download paper

  10. Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:66:y:2017:i:c:p:523-534.

    Full description at Econpapers || Download paper

  11. Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates. (2017). Fries, Christian P ; Seeger, Norman ; Nigbur, Tobias .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:42:y:2017:i:c:p:175-198.

    Full description at Econpapers || Download paper

  12. Mean-VaR portfolio optimization: A nonparametric approach. (2017). Lwin, Khin T ; MacCarthy, Bart L ; Qu, Rong .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:260:y:2017:i:2:p:751-766.

    Full description at Econpapers || Download paper

  13. Firm Risk and Disclosures about Dispersion in Asset Values:. (2017). Badia, Marc ; Ormazabal, Gaizka ; Duro, Miguel ; Barth, Mary E.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12144.

    Full description at Econpapers || Download paper

  14. A robust confidence interval of historical Value-at-Risk for small sample. (2016). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:16034.

    Full description at Econpapers || Download paper

  15. Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure. (2016). Hassani, Bertrand K ; Guegan, Dominique ; Li, Kehan.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:16006.

    Full description at Econpapers || Download paper

  16. Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure. (2016). Li, Kehan ; Guegan, Dominique ; Hassani, Bertrand K.
    In: Post-Print.
    RePEc:hal:journl:halshs-01277880.

    Full description at Econpapers || Download paper

  17. Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure. (2016). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01277880.

    Full description at Econpapers || Download paper

  18. Public disclosure and risk-adjusted performance at bank holding companies. (2016). Hirtle, Beverly.
    In: Economic Policy Review.
    RePEc:fip:fednep:00036.

    Full description at Econpapers || Download paper

  19. Artifactual unit root behavior of Value at risk (VaR). (2016). Chan, Ngai Hang ; Sit, Tony .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:116:y:2016:i:c:p:88-93.

    Full description at Econpapers || Download paper

  20. Derivatives usage, securitization, and the crash sensitivity of bank stocks. (2016). Trapp, Rouven.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:71:y:2016:i:c:p:183-205.

    Full description at Econpapers || Download paper

  21. Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

    Full description at Econpapers || Download paper

  22. A parsimonious quantile regression model to forecast day-ahead value-at-risk. (2016). Haugom, Erik ; Westgaard, Sjur ; Veka, Steinar ; Ullrich, Carl J ; Ray, Rina .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:16:y:2016:i:c:p:196-207.

    Full description at Econpapers || Download paper

  23. The nature and determinants of disclosure practices in the insurance industry: Evidence from European insurers. (2016). Porzio, Claudio ; Malafronte, Irma ; Starita, Maria Grazia .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:45:y:2016:i:c:p:367-382.

    Full description at Econpapers || Download paper

  24. Ruling Family Political Connections and Risk Reporting: Evidence from the GCC. (2016). Al-Yahyaee, Khamis ; Taylor, Grantley ; Al-Hadi, Ahmed.
    In: The International Journal of Accounting.
    RePEc:eee:accoun:v:51:y:2016:i:4:p:504-524.

    Full description at Econpapers || Download paper

  25. How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?. (2016). Mogel, Benjamin ; Auer, Benjamin R.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6288.

    Full description at Econpapers || Download paper

  26. Backtesting Value-at-Risk: A Generalized Markov Framework. (2015). Pajhede, Thor .
    In: Discussion Papers.
    RePEc:kud:kuiedp:1518.

    Full description at Econpapers || Download paper

  27. The tail risk premia of the carry trades. (2015). Dupuy, Philippe.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:59:y:2015:i:c:p:123-145.

    Full description at Econpapers || Download paper

  28. Monitoring the “invisible” hand of market discipline: Capital adequacy revisited. (2015). HASAN, IFTEKHAR ; Siddique, Akhtar ; Sun, Xian.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:50:y:2015:i:c:p:475-492.

    Full description at Econpapers || Download paper

  29. Risk management in portfolio applications of non-convex stochastic programming. (2015). Pang, Li-Ping ; Wang, Jin-He ; Chen, Shuang.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:258:y:2015:i:c:p:565-575.

    Full description at Econpapers || Download paper

  30. Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts. (2015). Ratuszny, Ewa .
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:15:y:2015:p:129-156.

    Full description at Econpapers || Download paper

  31. Analyzing model robustness via a distortion of the stochastic root: A Dirichlet prior approach. (2015). Jan-Frederik, Mai ; Matthias, Scherer ; Steffen, Schenk .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:32:y:2015:i:3-4:p:177-195:n:2.

    Full description at Econpapers || Download paper

  32. Risk models-at-risk. (2014). Maillet, Bertrand ; Danielsson, Jon ; Kouontchou, Patrick S. ; Boucher, Christophe M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:44:y:2014:i:c:p:72-92.

    Full description at Econpapers || Download paper

  33. Divulgación del valor en riesgo (VaR) previo a la crisis en el sector bancario español. (2014). Farías, Pablo ; Farias, Pablo .
    In: REVISTA AD-MINISTER.
    RePEc:col:000475:012689.

    Full description at Econpapers || Download paper

  34. Value-at-Risk: Risk assessment for the portfolio of oil and gas producers. (2013). Oglend, Atle ; Dahl, Roy ; Asche, Frank.
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2013_003.

    Full description at Econpapers || Download paper

  35. There is a VaR Beyond Usual Approximations. (2013). Kratz, Marie.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00880258.

    Full description at Econpapers || Download paper

  36. A comparison of the original and revised Basel market risk frameworks for regulating bank capital. (2013). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:85:y:2013:i:c:p:249-268.

    Full description at Econpapers || Download paper

  37. Financial Risk Measurement for Financial Risk Management. (2013). Andersen, Torben G ; Diebold, Francis X ; Christoffersen, Peter F ; Bollerslev, Tim.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1127-1220.

    Full description at Econpapers || Download paper

  38. There is a VaR Beyond Usual Approximations. (2013). Kratz, Marie.
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-13017.

    Full description at Econpapers || Download paper

  39. There is a VaR beyond usual approximations. (2013). Kratz, Marie.
    In: Papers.
    RePEc:arx:papers:1311.0270.

    Full description at Econpapers || Download paper

  40. Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach. (2012). Andriosopoulos, Kostas ; Nomikos, Nikos .
    In: RSCAS Working Papers.
    RePEc:rsc:rsceui:2012/47.

    Full description at Econpapers || Download paper

  41. Pitfalls in Backtesting Historical Simulation VaR Models. (2012). Pei, Pei ; Escanciano, Juan Carlos.
    In: Caepr Working Papers.
    RePEc:inu:caeprp:2012-003.

    Full description at Econpapers || Download paper

  42. THE STYLIZED FACTS OF ASSET RETURNS AND THEIR IMPACT ON VALUE-AT-RISK MODELS. (2012). Iorgulescu, Filip ; Filip, IORGULESCU .
    In: Revista Economica.
    RePEc:blg:reveco:v:supplement:y:2012:i:4:p:360-368.

    Full description at Econpapers || Download paper

  43. Investigating risk disclosure practices in the European insurance industry. (2011). Gründl, Helmut ; Horing, Dirk ; Grundl, Helmut.
    In: ICIR Working Paper Series.
    RePEc:zbw:icirwp:0211.

    Full description at Econpapers || Download paper

  44. Are realized volatility models good candidates for alternative Value at Risk prediction strategies?. (2011). Louzis, Dimitrios ; Refenes, Apostolos P. ; Xanthopoulos-Sisinis, Spyros .
    In: MPRA Paper.
    RePEc:pra:mprapa:30364.

    Full description at Econpapers || Download paper

  45. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:11-037.

    Full description at Econpapers || Download paper

  46. Liquidity risk, credit risk, market risk and bank capital. (2011). Varotto, Simone.
    In: International Journal of Managerial Finance.
    RePEc:eme:ijmfpp:v:7:y:2011:i:2:p:134-152.

    Full description at Econpapers || Download paper

  47. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-37.

    Full description at Econpapers || Download paper

  48. Risk management of precious metals. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, F..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20166.

    Full description at Econpapers || Download paper

  49. Risk Management of Precious Metals. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/37.

    Full description at Econpapers || Download paper

  50. Exact Moment Simulation using Random Orthogonal Matrices. (2009). Alexander, Carol ; Ledermann, Walter.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2009-09.

    Full description at Econpapers || Download paper

  51. On the exact distribution of linear combinations of order statistics from dependent random variables. (2007). Genton, Marc G. ; Arellano-Valle, Reinaldo B..
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:98:y:2007:i:10:p:1876-1894.

    Full description at Econpapers || Download paper

  52. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-19 06:23:29 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.