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Bank stress testing : a stochastic simulation framework to assess banks' financial fragility

Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...

Persistent link: https://www.econbiz.de/10011890804

Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk

Makarov, Roman - In: Risks : open access journal 11 (2023) 12, pp. 1-24

VaR and CVaR metrics, the identification of optimal portfolios, and the pricing of European-style basket options. We … propose a Laplace-transform-based approach to computing Value at Risk (VaR) and conditional VaR (also known as the expected …

Persistent link: https://www.econbiz.de/10014446758

Neural network pricing of American put options

Gaspar, Raquel M.; Lopes, Sara Dutra; Sequeira, Bernardo - In: Risks : open access journal 8 (2020) 3/73, pp. 1-24

In this study, we use Neural Networks (NNs) to price American put options. We propose two NN models-a simple one and a more complex one-and we discuss the performance of two NN models with the Least-Squares Monte Carlo (LSM) method. This study relies on American put option market prices, for...

Persistent link: https://www.econbiz.de/10012293134

Longevity risk management and the development of a value-based longevity index

Chang, Yang; Sherris, Michael - In: Risks : open access journal 6 (2018) 1, pp. 1-20

The design and development of post-retirement income products require the assessment of longevity risk, as well as a basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort-based value index for life insurers and pension funds to manage...

Persistent link: https://www.econbiz.de/10011811547

Automatic indexation of the pension age to life expectancy : when policy design matters

Ayuso, Mercedes; Holzmann, Robert; Holzmann, Robert; … - In: Risks : open access journal 9 (2021) 5, pp. 1-28

Increasing retirement ages in an automatic or scheduled way with increasing life expectancy at retirement is a popular pension policy response to continuous longevity improvements. The question addressed here is: to what extent is simply adopting this approach likely to fulfill the overall goals...

Persistent link: https://www.econbiz.de/10012597036

Change point estimation in panel data without boundary issue

Peštová, Barbora; Pešta, Michal - In: Risks : open access journal 5 (2017) 1, pp. 1-22

Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common...

Persistent link: https://www.econbiz.de/10011636497

Analyzing how the social security reserve fund in Spain affects the sustainability of the pension system

Gómez-Déniz, Emilio; Pérez Rodríguez, Jorge V.; … - In: Risks : open access journal 10 (2022) 6, pp. 1-17

Faced with the need to adjust public pension systems to meet changing demographic, economic and social conditions, most developed countries have created government reserve funds to ensure macroeconomic sustainability. This paper aims to study the importance that this reserve fund plays in the...

Persistent link: https://www.econbiz.de/10013363083

The COVID-19 pandemic and overconfidence bias : the case of cyclical and defensive sectors

Azam, Md Qamar; Hashmi, Nazia Iqbal; Hawaldar, Iqbal Thonse - In: Risks : open access journal 10 (2022) 3, pp. 1-15

sectors in pre- and during COVID-19 periods using daily data from 1 January 2015 to 31 December 2020. The results of VAR show …, METAL and REALTY have highly significant coefficients . In the defensive sectors, the VAR outcomes are not as strong as we …

Persistent link: https://www.econbiz.de/10013093209

How risky are the options? : a comparison with the underlying stock using MaxVaR as a risk measure

Patra, Saswat; Bhattacharyya, Malay - In: Risks : open access journal 8 (2020) 3/76, pp. 1-17

the risk better than Value-at-Risk especially. While VaR is a measure of end-of-horizon risk, MaxVaR captures the interim … horizon. For a 30-day maturity option, we find that MaxVaR can be 40% higher than VaR at a 5% significance level. It … highlights the importance of MaxVaR as a risk measure and shows that the risk is vastly underestimated when VaR is used as the …

Persistent link: https://www.econbiz.de/10012293244

On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles

Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28

-at-risk (VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After …, expectiles can be defined exclusively in terms of VaR, expected shortfall, and the thresholds at which those competing risk … address some of the flaws in VaR and expected shortfall-subject to the reservation that no risk measure can achieve exactitude …

Persistent link: https://www.econbiz.de/10011867427