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Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management

Pesaran, M. Hashem (contributor); … - 2004

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as average ̕models and its exact …

Persistent link: https://www.econbiz.de/10002523934

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003641741

An unconventional FX tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …

Persistent link: https://www.econbiz.de/10014336426

Collective risk-taking decisions with heterogeneous beliefs

Gollier, Christian - 2003

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

Persistent link: https://www.econbiz.de/10011507677

Geopolitical risk and cross-border portfolio flows : effects and Channels

Caporale, Guglielmo Maria; Ali, Faek Menla - 2024

worth, the evaporation of liquidity and rising risk premia are the key channels through which geopolitical uncertainty …

Persistent link: https://www.econbiz.de/10015065292

How accurate are modern value-at-risk estimators derived from extreme value theory?

Auer, Benjamin R.; Mögel, Benjamin - 2016

In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators …

Persistent link: https://www.econbiz.de/10011587888

Market risk management in a Post-Basel II regulatory environment

Urošević, Branko; Drenovak, Mikica; Ranković, Vladimir; … - 2016

risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel … relatively low market volatility may have unintended consequences for banks' risk exposure. …

Persistent link: https://www.econbiz.de/10011587953

Mean univariate-GARCH VaR portfolio optimization : actual portfolio approach

Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; … - 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 …

Persistent link: https://www.econbiz.de/10011420698

Corporate acquisitions and firm-level uncertainty : domestic versus cross-border deals

Bai, Ye; Girma, Sourafel; Riaño, Alejandro - 2020

This paper studies the impact of corporate acquisitions - both domestic and cross-border - on the uncertainty faced by acquiring firms. We use data for UK publicly-listed firms from 2004 to 2017 and employ a matching estimator combined with difference-in-differences to control for the endogenous...

Persistent link: https://www.econbiz.de/10012158166

Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

Persistent link: https://www.econbiz.de/10012158736