Search Results - subject:"Expected Shortfall"

Applications of Extreme Value Theory for Market Risks Estimation : A Review

Nilaish, Nilaish - 2016

In this paper, we analytically review the applications of Extreme Value Theory for Market Risks Estimation. The mathematical definitions of modelling tails are explained and illustrated using suitable example. The application of EVT is significant to risk measures and educates the managers to...

Persistent link: https://www.econbiz.de/10012995894

Revision of the Quantification of Market Risk in the Basel III Regulatory Framework

Bugár, Gyöngyi - 2016

The purpose of our study is to provide an overview of the revisions made to the Basel III regulatory framework in the aftermath of the 2007 crisis, with regard to measuring the risk associated with positions included in the trading book. The calculation of the regulatory capital requirement...

Persistent link: https://www.econbiz.de/10012995908

Asymptotics of Portfolio Tail Risk Metrics for Elliptically Distributed Asset Returns

Lesniewski, Andrew - 2016

We develop explicit asymptotic expansions of the portfolio Value-at-Risk (VaR) and portfolio Expected Shortfall (ES …

Persistent link: https://www.econbiz.de/10012996706

Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance

Chang, Chia-Lin - 2016

We compare Value at Risk (VaR) and Expected Shortfall (ES) following a Stochastic Dominance (SD) approach frequently …) recommends bank risk managers to shift the current quantitative risk metrics system, based on Value-at-Risk (VaR), to Expected … Shortfall (ES). “Welfare costs” of such a reform in terms of capital requirements and penalties are a central concern for risk …

Persistent link: https://www.econbiz.de/10012996938

Mean Univariate-GARCH VaR Portfolio Optimization : Actual Portfolio Approach

Rankovic, Vladimir - 2016

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the portfolio represented by its current holdings. To tackle...

Persistent link: https://www.econbiz.de/10012997323

Spectral Risk Measures and Portfolio Selectio

Adam, Alexandre - 2016

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management...

Persistent link: https://www.econbiz.de/10012997402

Networks in Risk Spillovers : A Multivariate GARCH Perspective

Billio, Monica - 2016

We propose a spatial approach for modeling risk spillovers using financial time-varying proximity matrices based on observable networks. We show how these methods could be useful in (i) isolating risk channels, risk spreaders and risk receivers, (ii) investigating the role of portfolio...

Persistent link: https://www.econbiz.de/10012997533

Portfolio Risk Measures Implementation Using Python

Ravaglia, Nicolò - 2016

In this paper, I present the implementation of Portfolio Risk Measures in Python 3.5. Several Risk Measures such as VaR, CVaR and MVaR are adopted and different methodologies of computation are showed: Parametric and Historical. The portfolio is dinamical in the sense that each day computes the...

Persistent link: https://www.econbiz.de/10012998050

Value-at-Risk and Backtesting with the APARCH Model and the Standardized Pearson Type IV Distribution

Stavroyiannis, Stavros - 2016

We examine the efficiency of the Asymmetric Power ARCH (APARCH) model in the case where the residuals follow the standardized Pearson type IV distribution. The model is tested with a variety of loss functions and the efficiency is examined via application of several statistical tests and risk...

Persistent link: https://www.econbiz.de/10012998680

Complete Analytical Solution of the SABR Model for Fixed-Income Option Pricing and Value-at-Risk Problems - A Probability Density Function Approach

Izmailov, Alexander - 2016

Persistent link: https://www.econbiz.de/10012998971