Intensity-based estimation of extreme loss event probability and value at risk-Reference-Cited by-同舟云学术

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Intensity-based estimation of extreme loss event probability and value at risk

Published:2012-11-04 Issue:3 Volume:29 Page:171-186
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Hamidieh Kamal¹,Stoev Stilian²,Michailidis George²

Affiliation:

1. Department of Statistics; Rice University; Houston; TX; U.S.A.

2. Department of Statistics; The University of Michigan; Ann Arbor; MI; U.S.A.

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/asmb.1915/fullpdf

Reference48 articles.

1. An Introduction to Credit Risk Modeling

2. Operational Risk

3. After VaR: the theory, estimation, and insurance applications of quantile-based risk measures;Dowd;The Journal of Risk and Insurance,2006

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2. Looking at Extremes without Going to Extremes: A New Self-Exciting Probability Model for Extreme Losses in Financial Markets;Entropy;2020-07-20

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4. On inter-arrival times of bond market extreme events. An application to seven European markets;Journal of Economics and Finance;2013-10-30

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