Measurement of extreme market risk: Insights from a comprehensive literature review
Author:
Affiliation:
1. Institute for Financial Management (IFMR), Affiliated to University of Madras, Chennai, India
2. Institute for Financial Management – Graduate School of Business (IFMR – GSB), Krea University, Chennai, India
Funder
research
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/23322039.2021.1920150
Reference164 articles.
1. A comprehensive review of Value at Risk methodologies
2. Alexander & Sheedy, E. (2008). Why VaR models fail and what can be done. Macquarie University Applied Finance Center Research Paper no. 34.
3. Normal mixture GARCH(1,1): applications to exchange rate modelling
4. Developing a stress testing framework based on market risk models
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1. Market Risk Analysis with Value at Risk Models using Machine Learning in BIST-30 Banking Index;Adam Akademi Sosyal Bilimler Dergisi;2024-06-30
2. Applying Artificial Intelligence in Cryptocurrency Markets: A Survey;Algorithms;2022-11-14
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