Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio-Reference-Cited by-同舟云学术

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Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio

Published:2022-07 Issue: Volume:140 Page:106519
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Taylor James W.^ORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference37 articles.

1. Spectral measures of risk: a coherent representation of subjective risk aversion;Acerbi;J. Bank. Financ.,2002

2. On the coherence of expected shortfall;Acerbi;J. Bank. Financ.,2002

3. Coherent measures of risk;Artzner;Math. Financ.,1999

4. Minimum Capital Requirements for Market Risk. Technical report;Basel Committee,2016

5. Risk management with expectiles;Bellini;Eur. J. Financ.,2017

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4. Analysis of Outstanding Problems and Countermeasures in the Reform of Fine Arts Teaching in China’s Colleges and Universities Based on the VAR Model;Applied Mathematics and Nonlinear Sciences;2024-01-01

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