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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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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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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
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Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.
Kaynar, B.; Birbil, S.I.; Frenk, J.B.G. - Erasmus University Rotterdam, Econometric Institute - 2007
We discuss a class of risk measures for portfolio optimization with linear loss functions, where the random returns of financial instruments have a multivariate elliptical distribution. Under this setting we pay special attention to two risk measures, Value-at-Risk and Conditional-Value-at-Risk...
Persistent link: https://www.econbiz.de/10004972213
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Risk measures and their applications in asset management
Birbil, S.I.; Frenk, J.B.G.; Kaynar, B.; Noyan, N. - Erasmus University Rotterdam, Econometric Institute - 2008
particular, we model the risk by using Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). After reviewing the main … properties of VaR and CVaR, we present short proofs to some of the well-known results. Finally, we describe a computationally …
Persistent link: https://www.econbiz.de/10004972217
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A decision rule to minimize daily capital charges in forecasting value-at-risk
McAleer, M.J.; Jimenez-Martin, J-A.; Perez-Amaral, T. - Erasmus University Rotterdam, Econometric Institute - 2008
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates...
Persistent link: https://www.econbiz.de/10005056585