Similar Search Results

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

Factor Structure in Commodity Futures Return and Volatility

Christoffersen, Peter; Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014

Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration...

Persistent link: https://www.econbiz.de/10010892067

GARCH Option Valuation: Theory and Evidence

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - School of Economics and Management, University of Aarhus - 2012

We survey the theory and empirical evidence on GARCH option valuation models. Our treatment includes the range of … between GARCH and stochastic volatility models. In the appendix we provide Matlab computer code for option pricing via Monte …

Persistent link: https://www.econbiz.de/10010851269

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - School of Economics and Management, University of Aarhus - 2009

We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...

Persistent link: https://www.econbiz.de/10005037432

Volatility Components, Affine Restrictions and Non-Normal Innovations

Christoffersen, Peter; Dorion, Kris; Wang, Yintian - School of Economics and Management, University of Aarhus - 2008

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH … valuation performance of the Engle-Lee model and compare it to the standard one-component GARCH(1,1) model. We also compare … these non-affine GARCH models to one- and two- component models from the class of affine GARCH models developed in Heston …

Persistent link: https://www.econbiz.de/10005440037

Option Valuation with Long-run and Short-run Volatility Components

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - School of Economics and Management, University of Aarhus - 2008

This paper presents a new model for the valuation of European options, in which the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model can be...

Persistent link: https://www.econbiz.de/10005440047

Structure and Asymptotic theory for Nonlinear Models with GARCH Errors

Chan, F.; McAleer, M.J.; Medeiros, M.C. - Erasmus University Rotterdam, Econometric Institute - 2011

- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …

Persistent link: https://www.econbiz.de/10008800914

Evaluating Value-at-Risk Models with Desk-Level Data

Christoffersen, Peter; Berkowitz, Jeremy; Pelletier, Denis - School of Economics and Management, University of Aarhus - 2008

We present new evidence on disaggregated profit and loss (P/L) and Value-at-Risk (VaR) forecasts obtained from a large international commercial bank. Our dataset includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in...

Persistent link: https://www.econbiz.de/10005037434