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Smooth Extremal Models in Finance and Insurance

Chavez-Demoulin, Valerie; Embrechts, Paul - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

Extreme Value Theory (EVT) has develop ed very rapidly over the past two decades both methodologically and with respect to applications. Whereas (nonlife) actuaries have, at least implicitly, used EVT techniques for a long time, mainly through the emergence of quantitative Risk Management, EVT...

Persistent link: https://www.econbiz.de/10005858379

Sensitivity Analysis of VaR and Expected Shortfall for Portfolios under Netting Agreements

Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In this paper, we characterize explicitly the ﬁrst derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...

Persistent link: https://www.econbiz.de/10005858398

Robust Value at Risk Prediction

Mancini, Loriano; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We propose a general robust semiparametric bootstrap method to estimate conditional predictive distributions of GARCH-type models. Our approach is based on a robust estimator for the parameters in GARCH-type models and a robustified resampling method for standardized GARCH residuals, which...

Persistent link: https://www.econbiz.de/10005858522

Credit portfolios : What defines risk horizons and risk measurement?

Ebnöther, Silvan; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2005

Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...

Persistent link: https://www.econbiz.de/10005858869

Computational aspects of minimizing conditional value-at-risk

Künzi-Bay, Alexandra; Mayer, János - Institut für Schweizerisches Bankwesen <Zürich> - 2005

We consider optimization problems for minimizing conditional value atrisk (CVaR) from a computational point of view, with an emphasis on financial applications. As a general solution approach, we suggest to reformulate these CVaR optimization problems as twostage recourse problems of stochastic...

Persistent link: https://www.econbiz.de/10005858883

Extreme value theory and Value-at-Risk : Relative performance in emerging markets

Gençay, Ramazan; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine di.erent emerging markets. In addition to well-known modeling approaches such as variance-covariance method and historical simulation, we study the extreme value...

Persistent link: https://www.econbiz.de/10005859080

Credit risk management in banks: Hard information, soft Information and manipulation

Godbillon-Camus, Brigitte; Godlewski, Christophe - Volkswirtschaftliche Fakultät, … - 2005

The role of information’s processing in bank intermediation is a crucial input. The bank has access to different types … a bank relationship, is qualitative and non verifiable, therefore manipulable, but produces more precise estimation of … to the banker but requires particular organizational modifications within the bank, as it allows to reduce capital …

Persistent link: https://www.econbiz.de/10005836711

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios

Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

integrate the signiﬁcant factors into any reasonable bank risk, portfolio or capital management framework or approaches for …

Persistent link: https://www.econbiz.de/10005858102

Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation

Egloff, Daniel; Leippold, Markus; Jöhri, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2005

We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the Robbins-Monro stochastic approximation procedure. After presenting the subtle construction of the algorithm, we apply our adaptive scheme for calculating the risk figures of a typical...

Persistent link: https://www.econbiz.de/10005858875

Bank Risk Management and the Franchise Value

Bauer, Wolfgang; Ryser, Marc - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …

Persistent link: https://www.econbiz.de/10005859100