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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

Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type Value-at-Risk model performance in Thailand's transportation sector during covid-19

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

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

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

The Quality of reserve risk calculation models under solvency II and IFRS 17

Arató, N. Miklós; Martinek, László - In: Risks : open access journal 10 (2022) 11, pp. 1-13

We analyse four stochastic claims reserving methods in terms of their capability to estimate reserve risk and how successful they are at predicting distributions and VaRs of claim developments in particular. Both actual data and hypothetical claim triangles support our results. The...

Persistent link: https://www.econbiz.de/10014225942

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

Optimal reinsurance under the linear combination of risk measures in the presence of reinsurance loss limit

Xiong, Qian; Peng, Zuoxiang; Nadarajah, Saralees - In: Risks : open access journal 11 (2023) 7, pp. 1-26

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have been studied in recent literature. However, losses based on VaR may be underestimated and TVaR allows us to account better for catastrophic losses. In this paper, we propose a...

Persistent link: https://www.econbiz.de/10014340271

On the diversification effect in solvency II for extremely dependent risks

Chen, Yongzhao; Cheung, Ka Chun; Yam, Sheung Chi Phillip; … - In: Risks : open access journal 11 (2023) 8, pp. 1-22

In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that...

Persistent link: https://www.econbiz.de/10014370410

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

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