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There is a VaR Beyond Usual Approximations

Kratz, Marie - HAL - 2013

Basel II and Solvency 2 both use the Value-at Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal approximation is often chosen for the unknown distribution of the yearly log returns of financial assets. This is usually justified by the...

Persistent link: https://www.econbiz.de/10010898566

Opening the "black box" How internal reporting systems contribute to the quality of financial disclosure

Cavelius, Florence - HAL - 2011

investments. The purpose of this paper is to open the "black box" of the construction of financial disclosure by analyzing the …, the quality of the financial disclosure and the internal reporting systems are measured, and analyzed with a view to … finding some links between them. It is expected that the quality of disclosure is dependent on the quality of the internal …

Persistent link: https://www.econbiz.de/10010820808

Extreme Value at Risk and Expected Shortfall during Financial Crisis

Kourouma, L.; Dupre, D.; Sanfilippo, G.; Taramasco, O. - HAL - 2011

This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the conditional models. This underestimation is...

Persistent link: https://www.econbiz.de/10009399186

Milk farmers' risk attitudes: influence of the dairy processing company

Belhenniche, Geoffroy; Duvaleix-Tréguer, Sabine; … - HAL - 2009

European market deregulation is destabilizing the economic environment of French farmers leading to an increase in market risks. In the dairy sector, the 2003 CAP reform has lead to major changes (removal of export subsidies and increase in the European milk quota). The dairy supply chain is now...

Persistent link: https://www.econbiz.de/10010820610

Systematic and multifactor risk models revisited

Fliess, Michel; Join, Cédric - HAL - 2013

Systematic and multifactor risk models are revisited via methods which were already successfully developed in signal processing and in automatic control. The results, which bypass the usual criticisms on those risk modeling, are illustrated by several successful computer experiments.

Persistent link: https://www.econbiz.de/10010898688

An Experiment in the Economic Consequences of Additional Disclosure: The Case of the Fair Value of Unlisted Equity Investments

Ding, Yuan; Jeanjean, Thomas; Lesage, Cédric; Stolowy, … - HAL - 2009

We investigate the economic consequences of additional disclosure about assets with no active market in terms of … value 24 investments. We manipulate the level of disclosure on the fair value of assets (Limited versus Full), the …. Full) disclosure, participants are given a point estimate for the fair value of the investment (resp. plus a range of …

Persistent link: https://www.econbiz.de/10008791819

How Does the Stock Market Respond to Chemical Disasters?

Laguna, Marie-Aude; Capelle-Blancard, Gunther - HAL - 2010

In this paper, we examine the stock market reaction to industrial disasters. We consider an original sample of 64 explosions in chemical plants and refineries worldwide over the period 1990-2005. A quarter of the accidents resulted in a toxic release, and half of them caused at least one death...

Persistent link: https://www.econbiz.de/10010635087

Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis

Khalfaoui, R.; Boutahar, M. - HAL - 2012

We analyzed the volatility dynamics of three developed markets (U.K., U.S. and Japan), during the period 2003-2011, by comparing the performance of several multivariate volatility models, namely Constant Conditional Correlation (CCC), Dynamic Conditional Correlation (DCC) and consistent DCC...

Persistent link: https://www.econbiz.de/10010933866

Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests

Dumitrescu, Elena-Ivona; Hurlin, Christophe; Pham, Vinson - HAL - 2012

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed by Engle and Manganelli (2004), relies on a linear model. However, in view of the di- chotomic character of the...

Persistent link: https://www.econbiz.de/10009651571

Specification tests of parametric dynamic conditional quantiles

Escanciano, J. Carlos; Velasco, Carlos - HAL - 2010

This article proposes omnibus specification tests of parametric dynamic quantile models. Contrary to the existing procedures, we allow for a flexible specification, where a possibly continuum of quantiles are simultaneously specified under fairly weak conditions on the serial dependence in the...

Persistent link: https://www.econbiz.de/10010774278