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Mean Univariate-GARCH VaR Portfolio Optimization : Actual Portfolio Approach
Rankovic, Vladimir - 2016
In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the … portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework …
Persistent link: https://www.econbiz.de/10012997323
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021
use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …
Persistent link: https://www.econbiz.de/10013316571
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Forecasting Tail Risks
De Nicolo, Gianni - 2015
the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …
Persistent link: https://www.econbiz.de/10013024363
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Public Good Provision with Robust Decision Making
Angelopoulos, Konstantinos; Economides, George; … - 2021
In this paper, we study a two-country dynamic setup with environmental externalities and potential model mis-specification in relation to this public good. Under model uncertainty, robust policies help to correct the inefficiencies associated with free riding on public good provision, implying...
Persistent link: https://www.econbiz.de/10013315838
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Should We Give Up After Solyndra? Optimal Technology R&D Portfolios Under Uncertainty
Webster, Mort - 2015
Global climate change and other environmental challenges require the development of new energy technologies with lower emissions. In the near-term, R&D investments, either by government or the private sector, can bring down the costs of these lower emission technologies. However, the results of...
Persistent link: https://www.econbiz.de/10013018283
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Intergenerational Risk-Sharing and Risk-Taking of a Pension Fund
Gollier, Christian - 2021
facilitate intergenerational risk-sharing. In addition to the primary benefit of improved time diversification, this form of risk … results of the paper is that better intergenerational risk-sharing does not reduce the risk born by each generation. Rather …
Persistent link: https://www.econbiz.de/10013317092
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Robust Growth Determinants
Doppelhofer, Gernot - 2011
This paper investigates the robustness of determinants of economic growth in the presence of model uncertainty, parameter heterogeneity and outliers. The robust model averaging approach introduced in the paper uses a flexible and parsimonious mixture modeling that allows for fat-tailed errors...
Persistent link: https://www.econbiz.de/10013129859
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Debt, Inflation and Growth - Robust Estimation of Long-Run Effects in Dynamic Panel Data Models
Chudik, Alexander - 2013
This paper investigates the long-run effects of public debt and inflation on economic growth. Our contribution is both theoretical and empirical. On the theoretical side, we develop a cross-sectionally augmented distributed lag (CS-DL) approach to the estimation of long-run effects in dynamic...
Persistent link: https://www.econbiz.de/10013071384
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Robust Bond Risk Premia
Bauer, Michael - 2015
unspanned macro risk …
Persistent link: https://www.econbiz.de/10013012562
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Robust Mechanism Design and Social Preferences
Bierbrauer, Felix - 2014
We study a classic mechanism design problem: How to organize trade between two privately informed parties. We characterize an optimal mechanism under selfish preferences and present experimental evidence that, under such a mechanism, a non-negligible fraction of individuals deviates from the...
Persistent link: https://www.econbiz.de/10013055380