Advanced search
Publication Cover
Applied Economics Letters Volume 25, 2018 - Issue 3
Submit an article Journal homepage
297
Views
0
CrossRef citations to date
0
Altmetric
ARTICLE

Backtesting expected shortfall: evidence from European securitized real estate

Fahad AlmudhafDepartment of Finance and Financial Institutions, Kuwait University, Shuwaikh, KuwaitCorrespondence[email protected]
Pages 176-182 | Published online: 22 Mar 2017

References

  • Artzner, P., F. Delbaen, J. M. Eber, and D. Heath. 1999. “Coherent Measures of Risk.” Mathematical Finance 9 (3): 203–228. doi:10.1111/1467-9965.00068.
  • Basel committee on Banking Supervision. 2013. Fundamental Review of the Trading Book: A Revised Market Risk Framework, Basel, Switzerland. http://www.bis.org/publ/bcbs265.pdf
  • Du, Z., and J. C. Escanciano. 2016. “Backtesting Expected Shortfall: Accounting For Tail Risk.” Management Science. doi: org/10.1287/mnsc.2015.2342
  • Katyoka, M., and S. Stevenson. 2015. Real Estate Market Risk Modelling (No. Eres2015-211). European Real Estate Society (ERES)Istanbul, Turkey
  • Kellner, R., and D. Rösch. 2016. “Quantifying Market Risk with Value-At-Risk or Expected Shortfall? Consequences for Capital Requirements and Model Risk.” Journal of Economic Dynamics and Control 68: 45–63. doi:10.1016/j.jedc.2016.05.002.
  • Liow, K. H. 2008. “Extreme Returns and Value at Risk in International Securitized Real Estate Markets.” Journal of Property Investment & Finance 26 (5): 18–446.
  • Lu, C., S. Wu, and L. Ho. 2009. “Applying Var to Reits: A Comparison of Alternative Methods.” Review of Financial Economics 18: 97–102. doi:10.1016/j.rfe.2008.03.001.
  • Sun, C. 2013. “Extreme Risk of Public Timber REITs during the Global Financial Crisis.” Journal of Real Estate Portfolio Management 19 (1): 73–88.
  • Zhou, J. 2012. “Extreme Risk Measures for REITs: A Comparison among Alternative Methods.” Applied Financial Economics 22 (2): 113–126. doi:10.1080/09603107.2011.605752.
  • Zhou, J., and R. I. Anderson. 2012. “Extreme Risk Measures for International REIT Markets.” The Journal of Real Estate Finance and Economics 45 (1): 152–170. doi:10.1007/s11146-010-9252-5.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.