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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

Revisiting calibration of the solvency II standard formula for mortality risk : does the standard stress scenario provide an adequate approximation of value-at-risk?

Gylys, Rokas; Šiaulys, Jonas - In: Risks : open access journal 7 (2019) 2/58, pp. 1-24

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as determined using Solvency II Standard Formula. In particular,...

Persistent link: https://www.econbiz.de/10012019003

Assessing asset-liability risk with neural networks

Cheridito, Patrick; Ery, John; Wüthrich, Mario V. - In: Risks : open access journal 8 (2020) 1/16, pp. 1-17

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio...

Persistent link: https://www.econbiz.de/10012203982

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

Persistent link: https://www.econbiz.de/10010399713

Multi-Variate risk measures under Wasserstein Barycenter

Arias-Serna, M. Andrea; Loubes, Jean Michel; … - In: Risks : open access journal 10 (2022) 9, pp. 1-15

When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a result, regulators have started to require that the...

Persistent link: https://www.econbiz.de/10013555458

Assessing the market risk on the government debt of Kazakhstan and Bulgaria in conditions of turbulence

Em, Olga; Georgiev, Georgi; Radukanov, Sergey; Petrova, … - In: Risks : open access journal 10 (2022) 5, pp. 1-18

The purpose of this publication is to quantify and compare the market risk on the external government debt of Kazakhstan and Bulgaria in the conditions of COVID-19, the emerging energy crisis, and the coup attempt in the first country. In particular, the authors invest the market risk of...

Persistent link: https://www.econbiz.de/10013359115

Multi-variate risk measures under Wasserstein barycenter

Arias-Serna, M. Andrea; Loubes, Jean Michel; … - In: Risks : open access journal 10 (2022) 9, pp. 1-15

Persistent link: https://www.econbiz.de/10013368725

On double value at risk

Zhang, Wanbing; Zhang, Sisi; Zhao, Peibiao - In: Risks : open access journal 7 (2019) 1/31, pp. 1-22

Value at Risk (VaR) is used to illustrate the maximum potential loss under a given confidence level, and is just a single indicator to evaluate risk ignoring any information about income. The present paper will generalize one-dimensional VaR to two-dimensional VaR with income-risk double...

Persistent link: https://www.econbiz.de/10012015826

Spatial risk measures and rate of spatial diversification

Koch, Erwan - In: Risks : open access journal 7 (2019) 2/52, pp. 1-26

An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a corresponding set of axioms which are well suited to analyze the...

Persistent link: https://www.econbiz.de/10012019126

Measuring and allocating systemic risk

Brunnermeier, Markus Konrad; Cheridito, Patrick - In: Risks : open access journal 7 (2019) 2/46, pp. 1-19

In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our allocation principle distributes the total systemic risk...

Persistent link: https://www.econbiz.de/10012019234