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Sensitivities-based method and expected shortfall for market risk under FRTB: Its impact on options risk capital

• Authors : Grajales, Carlos Alexander; Hurtado, Santiago Medina

Subjects: ddc:330; C5; G18

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The quantum harmonic oscillator expected shortfall model ; El modelo de déficit esperado basado en el oscilador armónico cuántic

• Authors : Markovic, Vladimir M.; Radivojevic, Nikola; Ivanovic, Tatjana

Subjects: ddc:330; G24; C22

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Predictors of excess return in a green energy equity portfolio: Market risk, market return, value-at-risk and or expected shortfall?

• Authors : Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi

Subjects: ddc:330; green equities; Capital Asset Pricing Model

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Managing meteorological risk through expected shortfall

• Authors : Stefani, Silvana; Kutrolli, Gleda; Moretto, Enrico

Subjects: ddc:330; climate change; temperature

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Good-deal bounds for option prices under value-at-risk and expected shortfall constraints

• Authors : Desmettre, Sascha; Laudagé, Christian; Sass, Jörn

Subjects: ddc:330; good-deal bounds; riskmeasures

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A simple traffic light approach to backtesting expected shortfall

• Authors : Costanzino, Nick; Curran, Michael

Subjects: ddc:330; Expected Shortfall; backtesting

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On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles

• Authors : Chen, James Ming

Subjects: ddc:330; expectiles; risk measures

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Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

• Authors : Barendse, Sander; Kole, Erik; van Dijk, Dick

Subjects: ddc:330; C12; C53

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South African banks' cross-border systemic risk exposure: An application of the gas copula marginal expected shortfall

• Authors : Manguzvane, Mathias Mandla; Muteba Mwamba, John

Subjects: ddc:330; contagion; financial crisis

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Regression-Based Expected Shortfall Backtesting

• Authors : Bayer, Sebastian; Dimitriadis, Timo

Subjects: ddc:330

• Source: Journal of Financial Econometrics. Oxford University Press. 2022, 20(3), pp. 437-471. ISSN 1479-8409. eISSN 1479-8417. Available under: doi:10.1093/jjfinec/nbaa013

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