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The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates
Fink, Holger Maria; Fuest, Andreas; Port, Henry - In: Risks : open access journal 6 (2018) 3, pp. 1-19
A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model … August 2005–30 September 2016. As a benchmark, we take an ARMA-GARCH and an ARMAX-GARCHX with the 2y-yield difference as the …
Persistent link: https://www.econbiz.de/10011890808
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The standard model of rational risky decision-making
Falahati, Kazem - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-22
Expected utility theory (EUT) is currently the standard framework which formally defines rational decision-making under risky conditions. EUT uses a theoretical device called von Neumann-Morgenstern utility function, where concepts of function and random variable are employed in their...
Persistent link: https://www.econbiz.de/10012611715
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Shari'a governance in Bahrain: Analysing the Islamic banking industry's implementation of the newly issued regulatory Shari'a governance module
Al-Saadi, Abdulrahman; Hassan, M. Kabir; Alkhan, Ahmed … - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-22
Shari'a governance is considered a crucial element of the Islamic banking industry. As recent as 2017, Islamic banks in the Kingdom of Bahrain were required by the regulator to have only a Shari'a Supervisory Board and an internal Shari'a function. In 2017, the Central Bank of Bahrain issued a...
Persistent link: https://www.econbiz.de/10014332617
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Multiplicative methodology for assessing investment attractiveness and risk for industries
Vertakova, Yulia; Klevtsova, Maria; Zadimidchenko, Anna - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-9
Creating favorable conditions for the development of industry is one of the key tasks with an increased level of complexity, the solution of which is associated with attracting investments and forming an investment policy that takes into account various specific characteristics of its...
Persistent link: https://www.econbiz.de/10014332618
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The effects of securitization for managing banking risk using alternative tranching schemes
Cadenas, Pedro; Gzyl, Henryk - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-25
Diversification practices by banks affect their own risk of failing and the risk of the banking system as a whole (systemic risk). A seminal theoretical work has shown that linear diversification can reduce the risk of a bank failing, but at the cost of increasing systemic risk. Later, a...
Persistent link: https://www.econbiz.de/10014332619
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Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH
Quang, Paul Bui; Klein, Tony; Walther, Thomas - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-20
markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance … models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across …
Persistent link: https://www.econbiz.de/10012611007
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Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type Value-at-Risk model performance in Thailand's transport...
Danai Likitratcharoen; Lucksuda Suwannamalik - In: Risks : open access journal 12 (2024) 3, pp. 1-19
of VaR approaches. This study critically evaluates the efficacy of GARCH-type VaR models within the transportation sector … GARCH-type VaR models include GARCH (1,1) VaR, ARMA (1,1)-GARCH (1,1) VaR, GARCH (1,1)-M VaR, IGARCH (1,1) VaR, EWMA VaR … surpasses GARCH-type VaR models in failure rate accuracy. Within the GARCH-type category, the EWMA VaR model exhibited superior …
Persistent link: https://www.econbiz.de/10014497424
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Financial time series forecasting using empirical mode decomposition and support vector regression
Nava, Noemi; Di Matteo, Tiziana; Aste, Tomaso - In: Risks : open access journal 6 (2018) 1, pp. 1-21
We introduce a multistep-ahead forecasting methodology that combines empirical mode decomposition (EMD) and support vector regression (SVR). This methodology is based on the idea that the forecasting task is simplified by using as input for SVR the time series decomposed with EMD. The outcomes...
Persistent link: https://www.econbiz.de/10011811500
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A hybrid model for forecasting realized volatility based on heterogeneous autoregressive model and support vector regression
Zhuo, Yue; Morimoto, Takayuki - In: Risks : open access journal 12 (2024) 1, pp. 1-16
In this study, we proposed two types of hybrid models based on the heterogeneous autoregressive (HAR) model and support vector regression (SVR) model to forecast realized volatility (RV). The first model is a residual-type model, where the RV is first predicted using the HAR model, and the...
Persistent link: https://www.econbiz.de/10014480965
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A generalized entropy approach to portfolio selection under a hidden markov model
MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-25
This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk...
Persistent link: https://www.econbiz.de/10014332538