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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

returns for constituents of the S&P 500 index. We assess the implication for one-day ahead 95% and 99% Value-at-Risk (VaR … Storey (2002) to estimate the percentage of stocks for which the model yields correct VaR and ES forecasts, we reach the …-parametric kernel density estimate performs well; it yields correct VaR and ES forecasts for an estimated 90% to 95% of the S&P 500 …

Persistent link: https://www.econbiz.de/10011257409

Risk Modelling and Management: An Overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013

The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...

Persistent link: https://www.econbiz.de/10011256696

Aggregating Credit and Market Risk: The Impact of Model Specification

Lucas, Andre; Verhoef, Bastiaan - Tinbergen Instituut - 2012

credit risk. The specification effect can lead to Value-at-Risk (VaR) reductions in the range of 3 percent to 47 percent …

Persistent link: https://www.econbiz.de/10011256003

Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy

Callot, Laurent; Kristensen, Johannes Tang - Tinbergen Instituut - 2014

This paper studies vector autoregressive models with parsimoniously time-varying parameters. The parameters are assumed to follow parsimonious random walks, where parsimony stems from the assumption that increments to the parameters have a non-zero probability of being exactly equal to zero. We...

Persistent link: https://www.econbiz.de/10011271948

Risk Measures for Autocorrelated Hedge Fund Returns

Cesare, Antonio Di; Stork, Philip A.; Vries, Casper G. de - Tinbergen Instituut - 2011

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported returns. Getmansky et al. (2004) derive mean,variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Followingtheir lead, adjusted downside and global...

Persistent link: https://www.econbiz.de/10011255664

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

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

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

(2), 231-247.<P> An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES … approach outperforms several alternative approaches in the sense of more accurate VaR and ES estimates given the same amount of …

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

Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation

Daníelsson, Jón; Jorgensen, Bjørn N.; Vries, Casper G. de - Tinbergen Instituut - 2001

We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR …

Persistent link: https://www.econbiz.de/10011255844

Incentives for Effective Risk Management

Daníelsson, Jón; Jorgensen, Bjørn N.; Vries, Casper G. de - Tinbergen Instituut - 2001

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