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Extreme Value at Risk and Expected Shortfall during Financial Crisis
Kourouma, L.; Dupre, D.; Sanfilippo, G.; Taramasco, O. - HAL - 2011
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 stronger using the historical VaR approach than when using the extreme … values theory VaR model. Even in 2008 financial crisis, the conditional EVT model is more accurate and reliable for …
Persistent link: https://www.econbiz.de/10009399186
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Extreme Value Theory and Value at Risk : Application to Oil Market
Marimoutou, Vêlayoudom; Raggad, Bechir; Trabelsi, … - HAL - 2006
risk has become a necessity. Value at Risk (VaR) measures risk exposure at a given probability level and is very important …
Persistent link: https://www.econbiz.de/10008794366
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Disentangling crashes from tail events
Aboura, Sofiane - HAL - 2010
The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, what differentiates a crash from a tail event? This article answers this question by taking a risk management perspective that is based on an...
Persistent link: https://www.econbiz.de/10010899911
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The extreme downside risk of the S&P 500 stock index
Aboura, Sofiane - HAL - 2009
Extreme value theory has been widely applied in insurance and finance to model rare events. Plenty of such events have occurred in financial markets during the last two decades, including stock market crashes, currency crises, or large bankruptcies. This article applies extreme value theory...
Persistent link: https://www.econbiz.de/10010709582
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Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy
Caillault, Cyril; Guegan, Dominique - HAL - 2009
Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk and the Expected Shortfall: the RiskMetrics...
Persistent link: https://www.econbiz.de/10010738564
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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 …
Persistent link: https://www.econbiz.de/10010898566
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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
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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
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Extreme Financial Cycles
Candelon, Bertrand; Gaulier, Guillaume; Hurlin, Christophe - HAL - 2012
This paper proposes a new approach to date extreme financial cycles. Elaborating on recent methods in extreme value theory, it elaborates an extension of the famous calculus rule to detect extreme peaks and troughs. Applied on United-States stock market since 1871, it leads to a dating of these...
Persistent link: https://www.econbiz.de/10010899424
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The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios
Hassani, Bertrand; Renaudin, Alexis - HAL - 2013
According to the last proposals of the Basel Committee on Banking Supervision, banks under the Advanced Measurement Approach (AMA) must use four different sources of information to assess their Operational Risk capital requirement. The fourth including "business environment and internal control...
Persistent link: https://www.econbiz.de/10010635130