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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, L.; Bos, C.S.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 1999
parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of …
Persistent link: https://www.econbiz.de/10005051715
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Daily exchange rate behaviour and hedging of currency risk
Bos, C.S.; Mahieu, R.J.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2000
methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance …
Persistent link: https://www.econbiz.de/10008570624
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Daily exchange rate behaviour and hedging of currency risk
Bos, C.S.; Mahieu, R.J.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 1999
Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10008584714
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It Pays to Violate: How Effective are the Basel Accord Penalties?
Veiga, B. da; Chan, F.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10008484079
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The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009
Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and...
Persistent link: https://www.econbiz.de/10005106818
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The ten commandments for optimizing value-at-risk and daily capital charges
McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2008
Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and...
Persistent link: https://www.econbiz.de/10005056578
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; McAleer, Michael; Allen, David - Facultad de Ciencias Económicas y Empresariales, … - 2013
America, time-varying mixture GARCH models and asymmetric volatility, and diagnostic checking for non-stationary ARMA models …
Persistent link: https://www.econbiz.de/10010778692
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David Edmund; McAleer, Michael; … - Facultad de Ciencias Económicas y Empresariales, … - 2013
papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk … under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes …
Persistent link: https://www.econbiz.de/10010778723
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Risk Management of Precious Metals
Hammoudeh, Shawkat; McAleer, Michael; Malik, Farooq - Facultad de Ciencias Económicas y Empresariales, … - 2011
compute the VaR for major precious metals using the calibrated RiskMetrics, different GARCH models, and the semi …
Persistent link: https://www.econbiz.de/10008864019
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Risk management of precious metals
Hammoudeh, S.M.; Malik, F.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2010
compute the VaR for major precious metals using the calibrated RiskMetrics, different GARCH models, and the semi …
Persistent link: https://www.econbiz.de/10008484085