management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio …

Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting …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 …

(systemic) risks. Forecasts are obtained from: (a) autoregressive and factor-augmented VARs with linear GARCH volatility (FAVARs … the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

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 …

conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent …-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …

suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

builds distribution risk into a real business cycle model, hypotheses on the determinants of the relative volatility of …Weakening bargaining power of unions and the increasing integration of the world economy may affect the volatility of … capital and labor incomes. This paper documents and explains changes in income volatility. Using a theoretical framework which …

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how …