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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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Love and Death : A Freund Model with Frailty
Gouriéroux, Christian; Lu, Yang - Centre de Recherche en Économie et Statistique … - 2013
dependence is usually taken into account in the actuarial literature by introducing an Archimedean copula. This practice implies …
Persistent link: https://www.econbiz.de/10010857712
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Shock on Variable or Shock on Distribution with Application to Stress-Tests
Dubecq, Simon; Gouriéroux, Christian - Centre de Recherche en Économie et Statistique … - 2012
The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...
Persistent link: https://www.econbiz.de/10010548475
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Evaluating the Predictive Abilities of Semiparametric Multivariate Models
Panchenko, Valentyn - Society for Computational Economics - SCE - 2006
semiparametric model is based on the parametric conditional copula and nonparametric conditional marginals. To avoid the curse of … conditional kernel smoothers based on local linear estimator. The semiparametric copula model is compared with the parametric DCC …
Persistent link: https://www.econbiz.de/10005706216
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A new framework for firm value using copulas
Giuli, Elena Maria De; Maggi, Mario; Fantazzini, Dean - Society for Computational Economics - SCE - 2006
analysis and copula theory. First we consider the case of the complete markets followed by the general case of incomplete …
Persistent link: https://www.econbiz.de/10005170550
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A Asymptotic Total Variation Test for Copulas
Fermanian, Jean-David; Radulovic, Dragan; Wegkamp, Marten - Centre de Recherche en Économie et Statistique … - 2013
We propose a new goodness-of-fit test for copulas, based on empirical copula processes and nonparametric bootstrap … counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula process indexed … by orthants is extended by test statistics based on the supremum of the empirical copula process indexed by families of …
Persistent link: https://www.econbiz.de/10010747006
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Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models
Verbeek, Marno; Rombouts, Jeroen VK - Society for Computational Economics - SCE - 2005
In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S\&P 500 and Nasdaq indexes. Examining the...
Persistent link: https://www.econbiz.de/10005706293
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Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models
Giot, Pierre; Laurent, Sébastien - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706602
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The Alpha-Quantile Distribution Function and its Applications to Financial Modeling
Komunjer, Ivana - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706623
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VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS
Giot, Pierre; S»bastien Laurent - Society for Computational Economics - SCE - 2001
In this paper we model Value-at-Risk (VaR) for daily stock index returns using a collection of parametric models of the ARCH family based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed...
Persistent link: https://www.econbiz.de/10005132864