Showing 1 - 10 of 27
We discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value-at-Risk, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct and the other is based on residual analysis of...
Persistent link: https://www.econbiz.de/10009278294
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...
Persistent link: https://www.econbiz.de/10005103419
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...
Persistent link: https://www.econbiz.de/10005014739
An important concern of macroeconomic analysis is how interest rates affect the cash balance demanded at a certain level of nominal income. In fact, the interest-rate- elasticity of the liquidity demand determines the effectiveness of monetary policy, which is useless under absolute liquidity...
Persistent link: https://www.econbiz.de/10005835751
regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical … copula is important for risk management, because it modifies the Value at Risk (VaR) of international portfolio returns. …
Persistent link: https://www.econbiz.de/10005835854
This paper conducts a comparative evaluation of the predictive performance of various Value at Risk (VaR) models such as GARCH-normal, GARCH-t, EGARCH, TGARCH models, variance-covariance method, historical simulation and filtred Historical Simulation, EVT and conditional EVT methods. Special...
Persistent link: https://www.econbiz.de/10005836231
A theoretical framework is presented to characterise the money demand in deregulated markets. The main departure from the perfect capital markets setting is that, instead of assuming that investors can lend and borrow any amount of capital at a single (and exogenously determined) interest rate,...
Persistent link: https://www.econbiz.de/10005836440
In the paper, I simulate the games with a joint presence of 95% VaR-rule and return-rule groups of agents in the game. Simulations highlighted the level of omniscience, next being the rule, which agents follow at the decision-making, and the third the presence of liquidity agents in the game....
Persistent link: https://www.econbiz.de/10005836529
Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR is popular among researchers, practitioners and regulators of financial institutions. VaR has been extensively used for to measure systematic risk exposure in developed markets like of the...
Persistent link: https://www.econbiz.de/10008534259
This paper analyzes the effects of CDO issuance on the risk of default of banks. Previous literature showed that the overall riskiness of a bank can increase when it sells part of the loans in its portfolio by issuing a CDO of which it retains the equity tranche. Using Monte Carlo simulations,...
Persistent link: https://www.econbiz.de/10005034378