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Tail dependence in financial markets : a dynamic copula approach

Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14

This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula … Correlation (DCC) model. …

Persistent link: https://www.econbiz.de/10012127765

Markov Chain Monte Carlo methods for estimating systemic risk allocations

Koike, Takaaki; Hofert, Marius - In: Risks : open access journal 8 (2020) 1/6, pp. 1-33

In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional marginal loss distribution...

Persistent link: https://www.econbiz.de/10012204312

A note on the impact of parameter uncertainty on barrier derivatives

Escobar, Marcos; Panz, Sven - In: Risks : open access journal 4 (2016) 4, pp. 1-25

This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...

Persistent link: https://www.econbiz.de/10011556565

Direct and hierarchical models for aggregating spatially dependent catastrophe risks

Wójcik, Rafał; Liu, Charlie Wusuo; Guin, Jayanta - In: Risks : open access journal 7 (2019) 2/54, pp. 1-22

We present several fast algorithms for computing the distribution of a sum of spatially dependent, discrete random variables to aggregate catastrophe risk. The algorithms are based on direct and hierarchical copula trees. Computing speed comes from the fact that loss aggregation at branching...

Persistent link: https://www.econbiz.de/10012019121

L1 regularization for high-dimensional multivariate GARCH models

Yao, Sijie; Zou, Hui; Xing, Haipeng - In: Risks : open access journal 12 (2024) 2, pp. 1-29

The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK representations, and obtain a penalized quasi-maximum...

Persistent link: https://www.econbiz.de/10014497339

Pricing of pseudo-swaps based on pseudo-statistics

Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30

The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the … by so-called pseudo-statistics, namely, the pseudo-variance, -covariance, -volatility, and -correlation. The main … paper, we will demonstrate how to value different types of swaps (variance, volatility, covariance, and correlation swaps …

Persistent link: https://www.econbiz.de/10014370400

Pricing of averaged variance, volatility, covariance and correlation swaps with semi-markov volatilities

Sviščuk, Anatolij; Franco, Sebastian - In: Risks : open access journal 11 (2023) 9, pp. 1-22

pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities. The paper … correlation swaps for these markets. Formulas used for the numerical evaluation of averaged variance, volatility, covariance and … correlation swaps with semi-Markov volatilities are presented as well. The formulas that are detailed within the paper are …

Persistent link: https://www.econbiz.de/10014375249

Nonparametric Malliavin-Monte Carlo computation of hedging Greeks

Mancino, Maria Elvira; Sanfelici, Simona - In: Risks : open access journal 8 (2020) 4/120, pp. 1-17

We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l-method, generally outperforms the standard Monte Carlo finite difference method, especially for discontinuous payoffs. Furthermore, our approach is nonparametric, as we only assume...

Persistent link: https://www.econbiz.de/10012390464

Optimising portfolio risk by involving crypto assets in a volatile macroeconomic environment

Bányai, Attila; Tatay, Tibor; Thalmeiner, Gergő; … - In: Risks : open access journal 12 (2024) 4, pp. 1-21

Portfolio diversification is an accepted principle of risk management. When constructing an efficient portfolio, there are a number of asset classes to choose from. Financial innovation is expanding the range of instruments. In addition to traditional commodities and securities, other...

Persistent link: https://www.econbiz.de/10014636496

Volatility modeling and dependence structure of ESG and conventional investments

Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25

The question of whether environmental, social, and governance investments outperform or underperform other conventional financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of selected ESG indices and conventional ones and...

Persistent link: https://www.econbiz.de/10012805838

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