The standalone structural exchange rate risk depends on the product of the future foreign currency earning and the change in the exchange rate. Its Value-at-Risk (VaR) implying an extremely high survival probability, usually exceeding 99.9%, is used in practice to determine its economic capital....

In this paper an alternative non-parametric historical simulation approach, the Mixing Unconditional Disturbances model with constant volatility, where price paths are generated by reshuffling disturbances for S&P 500 Index returns over the period 1950 - 1998, is used to estimate a Generalized...

"Constant proportion portfolio insurance" (CPPI) is nowadays one of the most popular techniques for portfolio insurance strategies. It simply consists of reallocating the risky part of a portfolio with respect to market conditions, via a leverage parameter - called the multiple - guaranteeing a...

We present several estimates of measures of risk amongst the most well-known, using both high and low frequency data. The aim of the article is to show which lower frequency measures can be an acceptable substitute to the high precision measures, when transaction data is unavailable for a long...

Many models in economics involve probabilistic choices where each decision-maker selects the best alternative from a finite set. Viewing the value of each alternative as a random variable, the analyst is then interested in the choice probabilities, that is, the probability for an alternative to...

Many models in economics involve probabilistic choices where each decision-maker selects the best alternative from a finite set. Viewing the value of each alternative as a random variable, the analyst is then interested in the choice probabilities, that is, the probability for an alternative to...

Variance targeting estimation is a technique used to alleviate the numerical difficulties encountered in the quasi-maximum likelihood (QML) estimation of GARCH models. It relies on a reparameterization of the model and a first-step estimation of the unconditional variance. The remaining...

The empirical evidence of heavy tails in stock return data is recognised by risk managers as an important factor in assessing the Value-at-Risk and risk profile of investment portfolios. Tail index estimation appears to be a tailor-made tool for estimating the extreme quantiles of heavy tailed...

An important aspect of portfolio risk management is the analysis of the overall risk with respect to the allocations to the underlying assets. Marginal risk is the traditional tool used by portfolio managers to accomplish this. However, this metric is only meaningful when a position is levered...

In this paper various Value-at-Risk techniques are applied tot the Dutch stock market index AEX and to the Dow Jones Industrial Average. the main conclusions are: (1) Changing volatility over time is the most important characteristic of stock returns when modelling value-at-risk; (2) For high...