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The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
Busse, Marc; Dacorogna, Michel; Kratz, Marie - HAL - 2013
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...
Persistent link: https://www.econbiz.de/10010899196
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A mathematical resurgence of risk management: an extreme modeling of expert opinions
Guegan, Dominique; Hassani, Bertrand - HAL - 2011
The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these risks and to evaluate the pertaining capital charges. Considering that a banking group is composed of numerous entities (branches and subsidiaries), and that each one of them is...
Persistent link: https://www.econbiz.de/10011025772
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Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors
KAMDEM, Jules SADEFO - Society for Computational Economics - SCE - 2004
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate both the expected shortfall and Value-at-Risk of a...
Persistent link: https://www.econbiz.de/10005706570
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What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Emmer, Suzanne; Kratz, Marie; Tasche, Dirk - HAL - 2013
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...
Persistent link: https://www.econbiz.de/10010821003
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GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David; Hoogerheide, Lennart - Tinbergen Instituut - 2013
We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily returns for constituents of the S&P 500 index. We assess the...
Persistent link: https://www.econbiz.de/10011257409
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Climate policies as a hedge against the uncertainty on future oil supply
Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010
Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...
Persistent link: https://www.econbiz.de/10009647577
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Climate policies as a hedge against the uncertainty on future oil supply
Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010
Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...
Persistent link: https://www.econbiz.de/10010738735
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On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates
Truchis, Gilles De; Keddad, Benjamin - HAL - 2014
both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility … for the European and British exchange rates. Concerning the copula analysis, we conclude in favor of weak dependence when …
Persistent link: https://www.econbiz.de/10010933834
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Copula-based dynamic conditional correlation multiplicative error processes
Bodnar, Taras; Hautsch, Nikolaus - Center for Financial Studies - 2013
We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables … multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … proposed copula-based transformation is supported by the data and allows capturing (multivariate) dynamics in higher order …
Persistent link: https://www.econbiz.de/10010958506
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Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - Center for Financial Studies - 2014
We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...
Persistent link: https://www.econbiz.de/10010958791