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The Spectral Stress VaR (SSVaR). (2015). Li, Kehan ; Hassani, Bertrand ; Guegan, Dominique.
In: Working Papers.
RePEc:ven:wpaper:2015:17.

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Cited: 6

Citations received by this document

Cites: 12

References cited by this document

Cocites: 21

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. 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

  2. Capturing the intrinsic uncertainty of the VaR: Spectrum representation of a saddlepoint approximation for an estimator of the VaR. (2016). Li, Kehan ; Hassani, Bertrand K ; Guegan, Dominique.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:16034r.

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  3. 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.

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  4. 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.

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  5. 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.

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  6. 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

References

References cited by this document

  1. Bank for international settlements. Basel III: A global regulatory framework for more resilient banks and banking systems. Basel Committee on Banking Supervision, 2011.
    Paper not yet in RePEc: Add citation now

  2. Ergashev B. Abdymomunov A., Blei S. Integrating stress scenarios into risk quantification models. Journal of Financial Services Research, 1007(10), 2014.

  3. Hassani B. Guégan D. Stress testing engineering: the real risk measurement. Future Perspective in Risk Models and Finance eds A. Bensoussan, D. Guégan, C. Tapiero, 2015.

  4. Ledermann D. Alexander C. ROM simulation: applications to stress testing and VaR. ICMA Centre Discussion Papers in Finance, icma-dp2012(09), 2012.

  5. Loader C. R. Bandwidth selection: classical or plug-in? The Annals of Statistics, 27(2), 1999.
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  6. McCulloch J. H. Simple consistent estimators of stable distribution parameters. Communications in Statistics, Simulations 15(1109–1136), 1986.
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  7. Rao C. R. Linear statistical inference and its applications. Wiley-Interscience, 2001, 2014.
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  8. Sheather S. J. Density estimation. Statistical Science, 19(4), 2004.
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  9. Silverman B. W. Density estimation for statistics and data analysis. Chapman and Hall, 1986.
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  10. Wong C. Fong T. P. Stress testing banks’ credit risk using mixture vector autoregressive models. Hong Kong monetary authority working paper, 2008(13), 2014.

  11. Zhao X. Gao F. Delta method in large deviations aand moderate deviations for estimations. The Annals of Statistics, Vol. 39(No. 2, 1211–1240), 2011.
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  12. Zicchino L. Hoggarth G., Sorensen S. Stress tests of uk banks using a var approach. Bank of England’s working paper, 2005.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Quantifying and Stress Testing Operational Risk with Peer Banks’ Data. (2020). Curti, Filippo ; Abdymomunov, Azamat.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:57:y:2020:i:3:d:10.1007_s10693-019-00320-w.

    Full description at Econpapers || Download paper

  2. Macro Stress Testing Credit Risk: Case of Madagascar Banking Sector. (2020). Rakotonirainy, Miora ; Razafindravonona, Jean ; Rasolomanana, Christian.
    In: Journal of Central Banking Theory and Practice.
    RePEc:cbk:journl:v:9:y:2020:i:2:p:199-218.

    Full description at Econpapers || Download paper

  3. Extensions of Random Orthogonal Matrix Simulation for Targetting Kollo Skewness. (2020). Wei, Wei ; Meng, Xiaochun ; Alexander, Carol.
    In: Papers.
    RePEc:arx:papers:2004.06586.

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  4. Comparison of stress testing models for regulatory purposes by institutions using the IRBA method. (2018). Kova, Michal.
    In: Český finanční a účetní časopis.
    RePEc:prg:jnlcfu:v:2018:y:2018:i:3:id:516:p:41-56.

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  5. Scenario-based stress tests: are they painful enough?. (2017). Ellis, Colin .
    In: Contemporary Economics.
    RePEc:wyz:journl:id:502.

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  6. A Model of Plausible, Severe and Useful Stress Scenarios for VIX Shocks. (2017). Guo, Zi-Yi.
    In: Applied Economics and Finance.
    RePEc:rfa:aefjnl:v:4:y:2017:i:3:p:155-163.

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  7. A Top-down Approach to Stress-testing Banks. (2016). Mitnik, Oscar ; Kapinos, Pavel.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:49:y:2016:i:2:d:10.1007_s10693-015-0228-8.

    Full description at Econpapers || Download paper

  8. The Spectral Stress VaR (SSVaR). (2015). Li, Kehan ; Hassani, Bertrand ; Guegan, Dominique.
    In: Working Papers.
    RePEc:ven:wpaper:2015:17.

    Full description at Econpapers || Download paper

  9. The Spectral Stress VaR (SSVaR). (2015). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:15052.

    Full description at Econpapers || Download paper

  10. The Spectral Stress VaR (SSVaR). (2015). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K.
    In: Post-Print.
    RePEc:hal:journl:halshs-01169537.

    Full description at Econpapers || Download paper

  11. The Spectral Stress VaR (SSVaR). (2015). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K..
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01169537.

    Full description at Econpapers || Download paper

  12. Robust stress testing. (2015). Bidder, Rhys ; McKenna, Andrew .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2015-13.

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  13. Macro credit scoring as a proposal for quantifying credit risk. (2014). Sergio Edwin Torrico Salamanca, .
    In: Investigación & Desarrollo.
    RePEc:iad:wpaper:0814.

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  14. Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution. (2014). Isogai, Takashi.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:wp14e01.

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  15. Gauging the Safehavenness of Currencies. (2013). Wong, Alfred ; Fong, Tom .
    In: Working Papers.
    RePEc:hkm:wpaper:132013.

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  16. Bridging the banking sector with the real economy: a financial stability perspective. (2013). Neagu, Florian ; Costeiu, Adrian .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131592.

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  17. Assessing the Resilience of ASEAN Banking Systems: The Case of the Philippines. (2012). Ng, Thiam ; Albert, Jose Ramon .
    In: Working Papers on Regional Economic Integration.
    RePEc:ris:adbrei:0093.

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  18. Assessing the Resilience of ASEAN Banking Systems: the Case of the Philippines. (2012). Ng, Thiam ; Albert, Jose Ramon G., .
    In: Discussion Papers.
    RePEc:phd:dpaper:dp_2012-23.

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  19. An MVAR framework to capture extreme events in macro-prudential stress tests. (2012). Guarda, Paolo ; Rouabah, Abdelaziz ; Theal, John .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20121464.

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  20. An MVAR Framework to Capture Extreme Events in Macroprudential Stress Tests. (2011). Guarda, Paolo ; Rouabah, Abdelaziz ; Theal, John .
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp063.

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  21. Stress testing: The impact of shocks on the capital needs of the Luxembourg banking sector. (2010). Rouabah, Abdelaziz ; Theal, John .
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp047.

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