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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

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

Volatility timing in CPF investment funds in Singapore : do they outperform non-CPF funds?

Shen, Xiaoyi; Tsui, Albert K.; Zhang, Zhaoyong - In: Risks : open access journal 7 (2019) 4/106, pp. 1-16

will provide the CPF board with a new method for risk classification. We employ the GARCH models and modified factor models …

Persistent link: https://www.econbiz.de/10012127925

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 … concentration of investment funds (in Bulgaria) through the testing of complex, analytical and specialized models from the GARCH … models GARCH, EGARCH, GARCH-M and TGARCH with specification (1.1). The research covers the net balance sheet value of forty …

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

Nonlinear modeling of mortality data and its implications for longevity bond pricing

Li, Huijing; Rui, Zhou; Ji, Min - In: Risks : open access journal 11 (2023) 12, pp. 1-25

Human mortality has been improving faster than expected over the past few decades. This unprecedented improvement has caused significant financial stress to pension plan sponsors and annuity providers. The widely recognized Lee-Carter model often assumes linearity in its period effect as an...

Persistent link: https://www.econbiz.de/10014446511

Model risk in portfolio optimization

Stefanovits, David; Schubiger, Urs; Wüthrich, Mario V. - In: Risks : open access journal 2 (2014) 3, pp. 315-348

We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...

Persistent link: https://www.econbiz.de/10010400258

Tail risk in commercial property insurance

Biffis, Enrico; Chavez, Erik - In: Risks : open access journal 2 (2014) 4, pp. 393-410

We present some new evidence on the tail distribution of commercial property losses based on a recently constructed dataset on large commercial risks. The dataset is based on contributions from Lloyd’s of London syndicates, and provides information on over three thousand claims occurred during...

Persistent link: https://www.econbiz.de/10010489100

Corporate governance and cost of capital : evidence from emerging market

Khan, Muhammad Yar; Javeed, Anam; Cuong, Ly Kim; Pham Ha - In: Risks : open access journal 8 (2020) 4/104, pp. 1-29

This study used a researcher self-constructed corporate governance index as a proxy to measure the firm-level corporate governance compliance and disclosure with the 2002 Pakistani Code of Corporate Governance, to examine the relationship between corporate governance and cost of capital. We...

Persistent link: https://www.econbiz.de/10012373093

Tail risk transmission : a study of the Iran food industry

Mojtahedi, Fatemeh; Mojaverian, Seyed Mojtaba; … - In: Risks : open access journal 8 (2020) 3/78, pp. 1-17

This paper extends the extreme downside correlation (EDC) and extreme downside hedge (EDH) methodology to model the interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market conditions. The model is applied to analyze both...

Persistent link: https://www.econbiz.de/10012293248

Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23

assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based … that non-normal distributions are best suited for both model fitting and forecasting. The MC-GARCH(1,1) model under the …’ knowledge) in: (1) forecasting the intraday Expected Shortfall (ES) under different distributional assumptions for the MC-GARCH …

Persistent link: https://www.econbiz.de/10012018629