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Model Averaging in Risk Management with an Application to Futures Markets

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

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

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

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

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

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

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

Tail connectedness between robotics and AI ETFs and traditional us assets under different market conditions : a quantile var approach

Belhouichet, Fekria; Caporale, Guglielmo Maria; … - 2025

This paper examines tail connectedness between various exchange-traded funds (ETFs) focused on artificial intelligence (AI) and some traditional assets such as bonds, equities, Bitcoin, and oil, as well as the VIX uncertainty index, using US daily data over the period from 1 January 2023 to 23...

Persistent link: https://www.econbiz.de/10015459571

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