List of Articles Expected Shortfall

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  1 - Forecasting value-at-risk and expected shortfall using high frequency data modeling
  S. Babak Ebrahimi Negin Mohebbi
• Open Access Article
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  2 - Investigating different methods of estimating tail risk measures with generalized Pareto distribution in Tehran stock exchange
  Eisa Mahmoudi Najme Dehqani Hojjatollah Sadeqi
• Open Access Article
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  3 - Prediction Stock Volatility and Probability Extreme Return
  felor ghorashi ghodratollah emamverdi Sayedeh Mahboubeh Jafari Ali Baghani Yadollah NouriFard
• Open Access Article
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  4 - Systemic risk assessment models: a better approach in Iranian financial institutions
  majid noroozi Hamid Reza Kordlouei Reza gholamijamkarani hossein Jahangirnia
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  5 - Analyzing and measuring the systemic risk between cryptocurrencies and real currencies using the value-at-risk and the marginal expected shortfall
  Zohre Rahimi Gholamreza Zomorodian Azita Jahanshad Mehdi Madanchizaj
• Open Access Article
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  6 - Tail Risk Analysis Using realized measure and Dynamic Asymmetric Laplace Models in Tehran Stock Exchange
  esmail mohammadi salari Mohammad Reza Rostami Reza Gholami Jamkarani Mojganm safa
• Open Access Article
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  7 - Portfolio Optimization Using the Whale Algorithm with Expected Shortfall as the Measure of Risk
  saeed fallahpour sepehr asefi sima fallahtafti MohammadReza Bagherikazemabad
• Open Access Article
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  8 - Statistical ranking of different VaR and ES models by using Model Confidence Set approach for the banking industry: With an emphasis on Conditional Extreme Value Theory
  Alireza Saranj marziyeh nourahmadi
• Open Access Article
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  9 - VAR and ES calculation based on the Extreme Value Theory (block maxima and GPD): Evidence from Tehran Stock Exchange (TSE)
  Mansour Kashi S. Hassan Hoseini mohammad Mousa Ghaliliou saeed Golkarian Arani
• Open Access Article
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  10 - Dynamic multi-scale expected shortfall in Tehran Stock Exchange: a spectral decomposition of tail risk across time horizons
  Seyed Ali Mousavi Sarhadi Hosein Izadi Mojgan Safa Mohammadreza Pourfakharan
  10.30495/afi.2023.1967573.1154