Showing 1 - 10 of 61
Persistent link: https://www.econbiz.de/10009793506
The purpose of this paper is to evaluate and estimate market risk for the ten major industries in Vietnam. The focus of the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with services, food, and telecommunications, targeted for...
Persistent link: https://www.econbiz.de/10012127865
We explore the Monte Carlo steps required to reduce the sampling error of the estimated 99.9% quantile within an acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement, where the annual loss distribution cannot be...
Persistent link: https://www.econbiz.de/10012019128
Persistent link: https://www.econbiz.de/10012035248
A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model implements the yield curve differentials between EUR and the US as exogenous factors. Functional principal component analysis allows us to use the information of basically the...
Persistent link: https://www.econbiz.de/10011890808
This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced approach for their pricing. An "hybrid" contract is introduced, combining insurance properties, specifically tailored for the region under study and introducing Value-at-Risk (VaR) and...
Persistent link: https://www.econbiz.de/10012390452
When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a result, regulators have started to require that the...
Persistent link: https://www.econbiz.de/10013368725
Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have been studied in recent literature. However, losses based on VaR may be underestimated and TVaR allows us to account better for catastrophic losses. In this paper, we propose a...
Persistent link: https://www.econbiz.de/10014340271
Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level. We develop multi-desk backtests, which...
Persistent link: https://www.econbiz.de/10014480976
In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that...
Persistent link: https://www.econbiz.de/10014370410