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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206
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Abnormal returns, risk, and options in large data sets
Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998
Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...
Persistent link: https://www.econbiz.de/10011299966
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Tail behavior of credit loss distributions for general latent factor models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001
distributions of both risk factors are thin-tailed,the credit loss distribution may have a finite tail index (polynomial tails … loss. This unconventionalbehaviour of the credit loss density has not been reported earlier in theliterature. We also … derive analytically the interaction between portfolioquality and credit loss tail behavior and find a striking difference …
Persistent link: https://www.econbiz.de/10011316891
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Modeling extreme events : timevarying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020
A dynamic semi-parametric framework is proposed to study time variation in tail fatness of sovereign bond yield changes during the 2010-2012 euro area sovereign debt crisis measured at a high (15-minute) frequency. The framework builds on the Generalized Pareto Distribution (GPD) for modeling...
Persistent link: https://www.econbiz.de/10012315434
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GFC-robust risk management under the Basel accord using extreme value methodologies
Jiménez-Martín, Juan-Ángel; McAleer, Michael; Pérez … - 2013
Persistent link: https://www.econbiz.de/10009765824
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Risk modelling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009767001
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Short-selling, leverage and systemic risk
Pais, Amelia; Stork, Philip - 2013
During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions with...
Persistent link: https://www.econbiz.de/10010226885
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Tail distribution of the maximum of correlated Gaussian random variables
Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
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Outlier detection in GARCH models
Doornik, Jurgen A.; Ooms, Marius - 2005
We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier …
Persistent link: https://www.econbiz.de/10011346470
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A test for the portion of bivariate dependence in multivariate tail risk
Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
In practice, multivariate dependencies of extreme risks are often only assessed in a pairwise way. We propose a novel test to detect when bivariate simplifications produce misleading results. This occurs when a significant portion of the multivariate dependence structure in the tails is of...
Persistent link: https://www.econbiz.de/10010246746