Estimation methods for Value at Risk
暂无分享,去创建一个
[1] José María Sarabia,et al. The Pareto-positive stable distribution: A new descriptive model for city size data , 2009 .
[2] M. Ivette Gomes,et al. A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator , 2007 .
[3] S. Chen,et al. Nonparametric Inference of Value-at-Risk for Dependent Financial Returns , 2005 .
[4] Kin Keung Lai,et al. Ensemble forecasting of Value at Risk via Multi Resolution Analysis based methodology in metals markets , 2012, Expert Syst. Appl..
[5] Arthur Charpentier,et al. Beta kernel quantile estimators of heavy-tailed loss distributions , 2010, Stat. Comput..
[6] T. Lai,et al. Statistical Models and Methods for Financial Markets , 2008 .
[7] Hiroyuki Taniai,et al. Statistical estimation errors of VaR under ARCH returns , 2008 .
[8] J. Bouchaud,et al. Theory of financial risks : from statistical physics to risk management , 2000 .
[9] G. Arbia. Bivariate value-at-risk , 2007 .
[10] András Prékopa. Multivariate value at risk and related topics , 2012, Ann. Oper. Res..
[11] N. L. Johnson,et al. Systems of frequency curves generated by methods of translation. , 1949, Biometrika.
[12] A. Kleefeld,et al. Folded and log-folded-t distributions as models for insurance loss data , 2009 .
[13] Phhilippe Jorion. Value at Risk: The New Benchmark for Managing Financial Risk , 2000 .
[14] T. V. Ramanathan,et al. Parametric and non-parametric estimation of value-at-risk , 2009 .
[15] M. L. Tiku,et al. Estimating the Parameters of Log-Normal Distribution from Censored Samples , 1968 .
[16] Kee-Hoon Kang,et al. Nonparametric estimation of value-at-risk , 2009 .
[17] Changhyun Kwon. Conditional value-at-risk model for hazardous materials transportation , 2011, Proceedings of the 2011 Winter Simulation Conference (WSC).
[18] Viviana Fernandez,et al. The CAPM and value at risk at different time-scales , 2006 .
[19] Huei-Mei Liang,et al. Estimating value at risk of portfolio by conditional copula-GARCH method , 2009 .
[20] Georges Tsafack,et al. Asymmetric Dependence Implications for Extreme Risk Management , 2009, The Journal of Derivatives.
[21] F. Longin. The Asymptotic Distribution of Extreme Stock Market Returns , 1996 .
[22] J. Dupacová,et al. Stochastic modeling in economics and finance , 2002 .
[23] Betty Jones Whitten,et al. Modified maximum likelihood and modified moment estimators for the three-parameter weibull distribution , 1982 .
[24] R. Tibshirani,et al. An introduction to the bootstrap , 1993 .
[25] Augustine C. M. Wong,et al. Computation of value-at-risk for nonlinear portfolios , 2000 .
[26] Martin Scheicher,et al. A Value at Risk Analysis of Credit Default Swaps , 2008, SSRN Electronic Journal.
[27] Marc S. Paolella,et al. Financial Valuation and Risk Management Working Paper No . 333 Accurate Value-at-Risk Forecasting Based on the ( good old ) Normal-GARCH Model , 2006 .
[28] Pierre Duchesne,et al. Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange , 2009 .
[29] Rania Hassan,et al. Value-at-risk analysis for real options in complex engineered systems , 2005, 2005 IEEE International Conference on Systems, Man and Cybernetics.
[30] Yuan-Hung Hsu Ku,et al. Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model – an empirical study on foreign exchange rates , 2008 .
[31] Stephen G. Ryan,et al. How Banks' Value-at-Risk Disclosures Predict their Total and Priced Risk: Effects of Bank Technical Sophistication and Learning over Time , 2004 .
[32] I. Weissman. Estimation of Parameters and Large Quantiles Based on the k Largest Observations , 1978 .
[33] R. R. Bahadur. A Note on Quantiles in Large Samples , 1966 .
[34] T. Knowles,et al. Asian Pacific Stock Market Volatility Modeling and Value at Risk Analysis , 2006 .
[35] B. Fernández,et al. ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS , 2009 .
[36] Marc S. Paolella,et al. Accurate value-at-risk forecasting based on the normal-GARCH model , 2006, Comput. Stat. Data Anal..
[37] M. Rockinger,et al. Entropy Densities: With an Application to Autoregressive Conditional Skewness and Kurtosis , 2002 .
[38] Jan Beirlant,et al. Estimating catastrophic quantile levels for heavy-tailed distributions , 2004 .
[39] A. Ziobrowski,et al. Using Value-at-Risk to Estimate Downside Residential Market Risk , 2011 .
[40] Chen-Sung Chang. A matrix-based VaR model for risk identification in power supply networks , 2011 .
[41] Matthew C. Pollard. Bayesian Value-at-Risk and Capital Charge Puzzle , 2007 .
[42] Zhaoyang Lu,et al. Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks , 2011, Math. Comput. Simul..
[43] Pier Francesco Perri,et al. Some developments on the log-Dagum distribution , 2009, Stat. Methods Appl..
[44] Forecasting value-at-risk using maximum entropy density , 2009 .
[45] Cláudia Neves,et al. Extreme value theory: an introductory overview , 2016 .
[46] Liang Peng,et al. Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations , 2007 .
[47] Peter A. Lachenbruch,et al. A generalized quantile estimator , 1982 .
[48] VISWANATHAN ARUNACHALAM,et al. Using Tukey's g and h family of distributions to calculate value-at-risk and conditional value-at-risk , 2011, Journal of Risk.
[49] Mark J. Kaiser,et al. Catastrophic Event Modeling in the Gulf of Mexico—II. Industry Exposure and Value at Risk , 2010 .
[50] Songsak Sriboonchitta,et al. Stochastic Dominance and Applications to Finance, Risk and Economics , 2017 .
[51] A. Cousin,et al. A multivariate extension of Value-at-Risk and Conditional-Tail-Expectation , 2011 .
[52] Werner Hürlimann,et al. Analytical Bounds for two Value-at-Risk Functionals , 2002, ASTIN Bulletin.
[53] Svetlozar T. Rachev,et al. Stable Modeling of Market and Credit Value at Risk , 2003 .
[54] David Ardia,et al. Financial Risk Management with Bayesian Estimation of GARCH Models , 2008 .
[55] Tomasz Zastawniak,et al. Mathematics for Finance , 2011 .
[56] David E. A. Giles,et al. Modelling the financial risk associated with U.S. movie box office earnings , 2009, Math. Comput. Simul..
[57] J. Kamdem. Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors , 2003, math/0309211.
[58] Bounds for value at risk for multiasset portfolios , 2008 .
[59] P. Hughett. Error Bounds for Numerical Inversion of a Probability Characteristic Function , 1998 .
[60] K. Mukherjee,et al. A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models , 2012 .
[61] David Ardia. Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications , 2008 .
[62] D. Ruppert. Statistics and Data Analysis for Financial Engineering , 2010 .
[63] L. Jeff Hong,et al. Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities , 2011, Proceedings of the 2011 Winter Simulation Conference (WSC).
[64] C. Klüppelberg,et al. Modelling Extremal Events , 1997 .
[65] H. Edwin Romeijn,et al. Comparison of new conditional value‐at‐risk‐based management models for optimal allocation of uncertain water supplies , 2007 .
[67] Rong Xin,et al. Value at Risk Management in Multi-period Supply Inventory Coordination , 2009, 2009 IEEE International Conference on e-Business Engineering.
[68] R. Lourie,et al. The Statistical Mechanics of Financial Markets , 2002 .
[69] José María Sarabia,et al. Modelling losses and locating the tail with the Pareto Positive Stable distribution , 2011 .
[70] Fernanda Figueiredo,et al. Improved reduced-bias tail index and quantile estimators , 2008 .
[71] C. Tapiero. Risk and financial management , 2004 .
[72] Phil Howlett,et al. Stochastic dynamic programming (SDP) with a conditional value-at-risk (CVaR) criterion for management of storm-water , 2008 .
[73] Alan H. Welsh,et al. Adaptive Estimates of Parameters of Regular Variation , 1985 .
[74] Roger N. Anderson,et al. Gas-to-electricity real options can provide d eepwater strategic, operational flexibility , 2007 .
[75] Claudia Klüppelberg,et al. Operational VaR: a closed-form approximation , 2005 .
[76] Alan G. White,et al. INCORPORATING VOLATILITY UPDATING INTO THE HISTORICAL SIMULATION METHOD FOR VALUE AT RISK , 1998 .
[77] W. Nganje,et al. Value-at-Risk in Bakery Procurement , 2007 .
[78] Measuring Value-at-Risk for Mortgage Backed Securities , 1996 .
[79] Murat Kulahci,et al. Conditional Value at Risk as a Measure for Waiting Time in Simulations of Hospital Units , 2010 .
[80] Estimating Value at Risk of a Listed Firm in China , 2006, 2006 International Conference on Machine Learning and Cybernetics.
[81] Nonparametric Estimation for Risk in Value-at-Risk Estimator , 2003 .
[82] Yan Dan,et al. Measurement of HIS Stock Index Futures Market Risk Based on Value-at-Risk , 2009, 2009 International Conference on Information Management, Innovation Management and Industrial Engineering.
[83] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[84] Alicja Ganczarek,et al. Value at Risk Using the Principal Components Analysis on the Polish Power Exchange , 2005, GfKl.
[85] Jean-François Quessy,et al. Bounds on the value-at-risk for the sum of possibly dependent risks , 2005 .
[86] F. Longin,et al. From value at risk to stress testing : The extreme value approach Franc ß ois , 2000 .
[87] B. G. Manjunath,et al. Bootstrap Methods in Statistics of Extremes , 2016 .
[88] An-Pin Chen,et al. Application of dynamic financial time-series prediction on the interval Artificial Neural Network approach with Value-at-Risk model , 2008, 2008 IEEE International Joint Conference on Neural Networks (IEEE World Congress on Computational Intelligence).
[89] Piotr Jaworski. Bounds for Value at Risk for Asymptotically Dependent Assets - the Copula Approach , 2007, EUSFLAT Conf..
[90] J. Hinrichs,et al. Using extreme value theory to estimate value‐at‐risk , 2003 .
[91] Yun Zhu,et al. Approximating the distributions of estimators of financial risk under an asymmetric Laplace law , 2007, Comput. Stat. Data Anal..
[92] I. D. Hill,et al. Fitting Johnson Curves by Moments , 1976 .
[93] Liang Peng,et al. Bias reduction for high quantiles , 2010 .
[94] QianSheng Cheng,et al. An approach to VaR for capital markets with Gaussian mixture , 2005, Appl. Math. Comput..
[95] R. Nelsen. An Introduction to Copulas , 1998 .
[96] S. Pivac,et al. Parametric Forecasting of Value at Risk Using Heavy Tailed Distribution , 2006 .
[97] Ling Tang,et al. Exploring the Value at Risk of Oil-exporting Country Portfolio: An Empirical Analysis from the FSU Region , 2011, ICCS.
[98] Stefano Gatti,et al. Measuring Value-at-Risk in Project Finance Transactions , 2007 .
[99] R. Fisher,et al. Limiting forms of the frequency distribution of the largest or smallest member of a sample , 1928, Mathematical Proceedings of the Cambridge Philosophical Society.
[100] L. Seco,et al. Principal Component Value at Risk , 2000 .
[101] Rainer Göb,et al. Estimating value at risk and conditional value at risk for count variables , 2011, Qual. Reliab. Eng. Int..
[102] Fushuan Wen,et al. Conditional Value-at-Risk based mid-term generation operation planning in electricity market environment , 2007, 2007 IEEE Congress on Evolutionary Computation.
[103] U. Cherubini,et al. RiskMetrics Technical Document , 2015 .
[104] Kurt Keutzer,et al. Accelerating Value‐at‐Risk estimation on highly parallel architectures , 2012, Concurr. Comput. Pract. Exp..
[105] Didier Sornette,et al. Predicting Financial Crashes Using Discrete Scale Invariance , 1999 .
[106] Frank E. Harrell,et al. A new distribution-free quantile estimator , 1982 .
[107] William H. Panning. The Strategic Uses of Value at Risk , 1999 .
[108] L. Belkacem,et al. Portfolio Value-at-Risk Bounds Using Extreme Value Theory , 2010 .
[109] J. Waldén,et al. Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks , 2011 .
[110] I. Iscoe,et al. Large-sample confidence intervals for risk measures of location–scale families , 2012 .
[111] R. Ibragimov. Portfolio diversification and value at risk under thick-tailedness , 2004 .
[112] Victor Chernozhukov,et al. Conditional value-at-risk: Aspects of modeling and estimation , 2000 .
[113] Manoj K. Singh,et al. Value at Risk Using Principal Components Analysis , 1997 .
[114] S. A. Khaparde,et al. Modelling volatility clustering in electricity price return series for forecasting value at risk , 2009 .
[115] Christian M. Hafner,et al. Statistics of Financial Markets , 2008 .
[116] Z. Isa,et al. Bivariate Value-at-risk in the emerging Malaysian sectoral markets , 2011 .
[117] Dynamic trading value at risk: Futures floor trading , 2006 .
[118] S. Trück,et al. Style analysis and Value-at-Risk of Asia-focused hedge funds , 2011 .
[119] Robert F. Engle,et al. A dymimic model of housing price determination , 1985 .
[120] M. Tiku,et al. Estimating the mean and standard deviation from a censored normal sample. , 1967, Biometrika.
[121] R. Tsay. Analysis of Financial Time Series: Tsay/Financial Time Series 3E , 2010 .
[122] M. Ivette Gomes,et al. Peaks over random threshold methodology for tail index and high quantile estimation , 2006 .
[123] Olivier Scaillet,et al. Sensitivity Analysis of Values at Risk , 2000 .
[124] F. Delbaen. Coherent risk measures , 2000 .
[125] Jean-Guy Simonato. The Performance of Johnson Distributions for Computing Value at Risk and Expected Shortfall , 2011 .
[126] Giovanni Barone-Adesi,et al. VaR without correlations for portfolios of derivative securities , 1999 .
[127] G. Pflug. Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk , 2000 .
[128] R. Baillie,et al. Fractionally integrated generalized autoregressive conditional heteroskedasticity , 1996 .
[129] Paul Embrechts,et al. For example, , 2022 .
[130] Kin Keung Lai,et al. Estimating Real Estate Value-at-Risk Using Wavelet Denoising and Time Series Model , 2008, ICCS.
[131] Felix Chan. Modelling time-varying higher moments with maximum entropy density , 2009, Math. Comput. Simul..
[132] Johan Segers,et al. Risk concentration and diversification: Second-order properties , 2009, 0910.2367.
[133] Jan W Dash. Quantitative Finance and Risk Management: A Physicist's Approach , 2004 .
[134] B. M. Hill,et al. A Simple General Approach to Inference About the Tail of a Distribution , 1975 .
[135] W. Härdle,et al. Copulae and Value at Risk , 2015 .
[136] A. Walden,et al. Maximum likelihood estimation of the parameters of the generalized extreme-value distribution , 1980 .
[137] M. Gomes,et al. Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology , 2011 .
[138] Ka Fai Cedric Yiu,et al. Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains , 2008 .
[139] J. Lins,et al. Value-at-Risk computation by Fourier inversion with explicit error bounds , 2008, 0811.2691.
[140] A. Meucci. Risk and asset allocation , 2005 .
[141] S. Siddiqui,et al. Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology , 2009 .
[142] G. Pflug,et al. Modeling, Measuring and Managing Risk , 2008 .
[143] Minghui Xu,et al. Tradeoff between expected reward and conditional value-at-risk criterion in newsvendor models , 2007, 2007 IEEE International Conference on Industrial Engineering and Engineering Management.
[144] W. Härdle,et al. Statistics of Financial Markets: An Introduction , 2004 .
[145] Faezeh Raei,et al. Sukuk vs. Eurobonds: Is There a Difference in Value-at-Risk? , 2007, SSRN Electronic Journal.
[146] Mark J. Kaiser,et al. Industry exposure and value at risk storms in the Gulf of Mexico , 2007 .
[147] L. Haan,et al. A moment estimator for the index of an extreme-value distribution , 1989 .
[148] M. Ivette Gomes,et al. Semi-parametric second-order reduced-bias high quantile estimation , 2009 .
[149] C. Klüppelberg,et al. Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors , 2004 .
[150] R. Plat. One-Year Value-at-Risk for Longevity and Mortality , 2010 .
[151] Paul Embrechts,et al. Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness , 2009 .
[152] M. Gomes,et al. A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation , 2012 .
[153] Nathan E. Porter. Revenue Volatility and Fiscal Risks: An Application of Value-at-Risk Techniques to Hong Kong's Fiscal Policy , 2007 .
[154] James Stephen Marron,et al. Kernel Quantile Estimators , 1990 .
[155] Ivana Komunjer,et al. Asymmetric power distribution: Theory and applications to risk measurement , 2007 .
[156] Kin Keung Lai,et al. Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach , 2012 .
[157] Ayşen Akkaya,et al. Robust Estimation and Hypothesis Testing , 2004 .
[158] M. S. Mannan,et al. Value at Risk Perspective on Layers of Protection Analysis , 2007 .
[159] Wholesale Price for Supply Chain Coordination via Conditional Value-at-Risk Minimization , 2010 .
[160] J. Nielsen,et al. Kernel density estimation for heavy-tailed distributions using the champernowne transformation , 2005 .
[161] Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector , 2004, cond-mat/0402654.
[162] Chin Wen Cheong,et al. Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets , 2011, Commun. Stat. Simul. Comput..
[163] J. Pickands. Statistical Inference Using Extreme Order Statistics , 1975 .
[164] Yeliz Mert Kantar,et al. Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution , 2011, J. Comput. Appl. Math..
[165] Kuang-Liang Chang. The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework , 2011 .
[166] Value at Risk in the South African equity market: a view from the tails , 2010 .