Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

2007 ◽  
Author(s):  
Lisa R. Goldberg ◽  
Guy Miller ◽  
Jared Weinstein
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Forecasting ◽  
Portfolio Loss

Generalized value at risk forecasting

2019 ◽  
Vol 49 (20) ◽  
pp. 4988-4995 ◽  
Author(s):  
Aerambamoorthy Thavaneswaran ◽  
Alex Paseka ◽  
Julieta Frank
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Forecasting

Upper bounds on value-at-risk for the maximum portfolio loss

Extremes ◽  
2014 ◽  
Vol 17 (4) ◽  
pp. 585-614 ◽  
Author(s):  
Robert Yuen ◽  
Stilian Stoev
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Upper Bounds ◽  
Portfolio Loss

Accurate value-at-risk forecasting based on the normal-GARCH model

2006 ◽  
Vol 51 (4) ◽  
pp. 2295-2312 ◽  
Author(s):  
Christoph Hartz ◽  
Stefan Mittnik ◽  
Marc Paolella
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Garch Model ◽  
Risk Forecasting

Exponentially Smoothing the Skewed Laplace Distribution for Value-at-Risk Forecasting

2013 ◽  
Vol 32 (6) ◽  
pp. 534-550 ◽  
Author(s):  
Richard Gerlach ◽  
Zudi Lu ◽  
Hai Huang
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Laplace Distribution ◽  
Risk Forecasting
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