3 papers
stat.ME2025
Modelling peaks over thresholds in panel data: a two-level grouped panel generalized Pareto regression
Zefan Liu, Natalia Nolde
Panel data arise in a wide range of application areas, and developing modelling methods for extreme values under such a setup is essential for reliable risk assessment and manageme…
stat.AP2024
Reverse stress testing via multivariate modeling with vine copulas
Menglin Zhou, Natalia Nolde
As an important tool in financial risk management, stress testing aims to evaluate the stability of financial portfolios under some potential large shocks from extreme yet plausibl…
q-fin.RM2016
Elicitability and backtesting: Perspectives for banking regulation
Natalia Nolde, Johanna F. Ziegel
Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations. In order to asses…