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The advent of the future European prudential framework (Solvency II) and, to a lesser extent, of the phase II of the IFRS dedicated to the insurance contracts, will systematize the use of the Value-at-Risk (VaR) risk measure in insurance. Especially used for financial purposes, the measure of an...
Persistent link: https://www.econbiz.de/10008792465
This paper is concerned with the problem of ruin in the classical compound binomial and compound Poisson risk models. Our primary purpose is to extend to those models an exact formula derived by Picard and Lefèvre (1997) for the probability of (non-)ruin within finite time. First, a standard...
Persistent link: https://www.econbiz.de/10008792658
Dans cet article, nous proposons une démarche originale visant à évaluer la capacité des tests usuels de backtesting à discriminer différentes prévisions de Value at Risk (VaR) ne fournissant pas la même évaluation ex-ante du risque. Nos résultats montrent que, pour un même actif, ces...
Persistent link: https://www.econbiz.de/10008793916
This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by Bontemps (2006) to test for the distributional assumption (i.e. the geometric distribution) is applied to the case of the VaR forecasts validity. Using simple J-statistic based on...
Persistent link: https://www.econbiz.de/10008794030
meteorological index and allowing companies to hedge against climate risk. These contracts present the particularity of providing …
Persistent link: https://www.econbiz.de/10008794220
This paper proposes a new test of Value at Risk (VaR) validation. Our test exploits the idea that the sequence of VaR violations (Hit function) - taking value 1-α, if there is a violation, and -α otherwise - for a nominal coverage rate α verifies the properties of a martingale difference if...
Persistent link: https://www.econbiz.de/10008794257
I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.
Persistent link: https://www.econbiz.de/10008794317
We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...
Persistent link: https://www.econbiz.de/10011255844
Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the presence of supervision by bank regulators. The model...
Persistent link: https://www.econbiz.de/10011255855
This discussion paper led to an article in the <I>Journal of Risk and Financial Management</I> (2014). Volume 7(2), pages 80-109.<P> In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where...</p></i>
Persistent link: https://www.econbiz.de/10011256164