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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

Mixed Density based Copula Likelihood

Azam, Kazim; Lucas, Andre - Tinbergen Instituut - 2015

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …

Persistent link: https://www.econbiz.de/10011255720

The pricing of correlated default risk: evidence from the credit derivatives market

Zhu, Haibin; Tarashev, Nikola A. - Deutsche Bundesbank - 2008

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...

Persistent link: https://www.econbiz.de/10005082786

Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - Tinbergen Instituut - 2013

copulabased non linear quantile regression known as copula quantile regression (CQR).The discussion of the properties of the …

Persistent link: https://www.econbiz.de/10011256497

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2010

robust to large innovations. The model also admits a representation as a time-varying heavy-tailed copula which is …

Persistent link: https://www.econbiz.de/10011257658

A value at risk analysis of credit default swaps

Scheicher, Martin; Raunig, Burkhard - Deutsche Bundesbank - 2008

We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period...

Persistent link: https://www.econbiz.de/10005082760

Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors

Broda, Simon A. - Tinbergen Instituut - 2013

Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression for the cdf exists, and one resorts to...

Persistent link: https://www.econbiz.de/10011256002

Systemic risk contributions: a credit portfolio approach

Düllmann, Klaus; Puzanova, Natalia - Deutsche Bundesbank - 2011

We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for interconnectedness. We measure systemic risk...

Persistent link: https://www.econbiz.de/10009024636

Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling

Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2008

This discussion paper resulted in a publication in the International Journal of Forecasting (2010). Vol. 26(2), 231-247. An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new...

Persistent link: https://www.econbiz.de/10011256664

Asymmetric Realized Volatility Risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2014

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10011272575