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When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010399734

The cascade Bayesian approach : prior transformation for a controlled integration of internal data, external data and scenarios

Hassani, Bertrand; Renaudin, Alexis - In: Risks : open access journal 6 (2018) 2, pp. 1-17

According to the last proposals of the Basel Committee on Banking Supervision, banks or insurance companies under the advanced measurement approach (AMA) must use four different sources of information to assess their operational risk capital requirement. The fourth includes ’business...

Persistent link: https://www.econbiz.de/10011866503

An optimal tail selection in risk measurement

Just, Małgorzata; Echaust, Krzysztof - In: Risks : open access journal 9 (2021) 4, pp. 1-16

The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task. This paper provides an empirical study on various methods of the optimal tail selection in...

Persistent link: https://www.econbiz.de/10012508704

Portfolio optimization for extreme risks with maximum diversification : an empirical analysis

Mehta, Navya Jayesh; Yang, Fan - In: Risks : open access journal 10 (2022) 5, pp. 1-26

Heavy tailedness and interconnectedness widely exist in stock returns and large insurance claims, which contributes to huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk, which is known to capture extreme risks better...

Persistent link: https://www.econbiz.de/10013358817

Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 … models GARCH, EGARCH, GARCH-M and TGARCH with specification (1.1). The research covers the net balance sheet value of forty … of the models GARCH, EGARCH and GARCH-M with the highest risk concentration the investment fund "Golden Lev Index 30 …

Persistent link: https://www.econbiz.de/10014436423

High-order moments and extreme value approach for value-at-risk

Lin, Chu-Hsiung; Changchien, Chang-Cheng; Kao, Tzu-Chuan; … - In: Journal of empirical finance 29 (2014), pp. 421-434

Persistent link: https://www.econbiz.de/10011300450

Diagnosing the distribution of GARCH innovations

Sun, Pengfei; Chen Zhou - In: Journal of empirical finance 29 (2014), pp. 287-303

Persistent link: https://www.econbiz.de/10011300465

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz

Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134

Persistent link: https://www.econbiz.de/10011556804

Tail risk and extreme events : connections between oil and clean energy

Di Febo, Elisa; Foglia, Matteo; Angelini, Eliana - In: Risks : open access journal 9 (2021) 2/39, pp. 1-13

Do tail events in the oil market trigger extreme responses by the clean-energy financial market (and vice versa)? This paper investigates the relationship between oil price and clean-energy stock with a novel methodology, namely extreme events study. The aim is to investigate an asymmetry effect...

Persistent link: https://www.econbiz.de/10012483185