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Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics

Chun, So Yeon; Shapiro, Alexander; Uryasev, Stan - Volkswirtschaftliche Fakultät, … - 2011

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

Generalized Marginal Risk

Keel, Simon; Ardia, David - Volkswirtschaftliche Fakultät, … - 2009

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

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

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

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

Multiple risky securities valuation I.

Ilya, Gikhman - Volkswirtschaftliche Fakultät, … - 2008

In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of portfolio assets. Our approach close but it does...

Persistent link: https://www.econbiz.de/10009359935

A Spot Stochastic Recovery Extension of the Gaussian Copula

Bennani, Norddine; Maetz, Jerome - Volkswirtschaftliche Fakultät, … - 2009

stochastic recovery modelling. This paper presents an extension to the standard Gaussian copula framework that introduces a …

Persistent link: https://www.econbiz.de/10008476375

Levy Subordinator Model: A Two Parameter Model of Default Dependency

Balakrishna, B S - Volkswirtschaftliche Fakultät, … - 2010

-factor Gaussian copula model and can easily be implemented within the framework of the existing computational infrastructure. As it … turns out, the Gaussian copula model can itself be recast into this framework highlighting its limitations. The model can … also demonstrates its ability to generate reasonable hedge ratios. …

Persistent link: https://www.econbiz.de/10008685034

Copulas for finance

Bouye, Eric; Durlleman, Valdo; Nikeghbali, Ashkan; … - Volkswirtschaftliche Fakultät, … - 2000

random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be …

Persistent link: https://www.econbiz.de/10011114301

A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery

Li, Yadong - Volkswirtschaftliche Fakultät, … - 2009

This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. In this modelling framework, only the joint distributions of default indicators are determined from the calibration to the index tranches; and the...

Persistent link: https://www.econbiz.de/10005668423