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The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …
Persistent link: https://www.econbiz.de/10010464782
We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …
Persistent link: https://www.econbiz.de/10011979983
An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the …
Persistent link: https://www.econbiz.de/10011301159
Economic problems such as large claims analysis in insurance and value-at-risk in finance, requireassessment of the …
Persistent link: https://www.econbiz.de/10010533207
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011302625
application is accurate prediction of financial risk measures, where the area of interest is the left tail of the predictive … introduced to further decrease the numerical standard errors of the Value-at-Risk and Expected Shortfall estimators. The third …
Persistent link: https://www.econbiz.de/10012057160
Persistent link: https://www.econbiz.de/10000151691
This paper considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of accounting for the leverage effect. We adopt simulation-based methods to address key challenges in parameter estimation, the filtering of time-varying volatility, and...
Persistent link: https://www.econbiz.de/10014433826
Persistent link: https://www.econbiz.de/10001633083
Persistent link: https://www.econbiz.de/10010190657