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The Age of Turbulence - Credit Derivatives Style
Byström, Hans - 2010
This paper focuses on the many extreme credit default swap spread movements observed during the recent credit crisis and on how the tails of the spread (and price) change distribution significantly differ from those of the normal distribution even for diversified credit derivatives portfolios....
Persistent link: https://www.econbiz.de/10013208532
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Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory
Odening, Martin; Hinrichs, Jan - 2002
Die vorliegende Arbeit behandelt geeignete Indikatoren zur Quantifizierung von Marktrisiken auf einem von Krisen und Deregulierung geprägten Agrarmarkt.
Persistent link: https://www.econbiz.de/10005849707
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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Market Liquidity Risk - An Overview
Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009
Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...
Persistent link: https://www.econbiz.de/10005870300
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Smooth Extremal Models in Finance and Insurance
Chavez-Demoulin, Valerie; Embrechts, Paul - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
Extreme Value Theory (EVT) has develop ed very rapidly over the past two decades both methodologically and with respect to applications. Whereas (non–life) actuaries have, at least implicitly, used EVT techniques for a long time, mainly through the emergence of quantitative Risk Management, EVT...
Persistent link: https://www.econbiz.de/10005858379
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Sensitivity Analysis of VaR and Expected Shortfall for Portfolios under Netting Agreements
Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...
Persistent link: https://www.econbiz.de/10005858398
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Robust Value at Risk Prediction
Mancini, Loriano; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
tails of standardized GARCH residuals. Monte Carlo simulation shows that our method consistently provides lower VaR forecast … levels. We test extensively our approach in the context of real data applications to VaR prediction for market risk, and find … estimation risk of robust VaR forecasts implies VaR prediction intervals that can be nearly 20% narrower and 50% less volatile …
Persistent link: https://www.econbiz.de/10005858522
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Credit portfolios : What defines risk horizons and risk measurement?
Ebnöther, Silvan; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...
Persistent link: https://www.econbiz.de/10005858869
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Computational aspects of minimizing conditional value-at-risk
Künzi-Bay, Alexandra; Mayer, János - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We consider optimization problems for minimizing conditional value atrisk (CVaR) from a computational point of view, with an emphasis on financial applications. As a general solution approach, we suggest to reformulate these CVaR optimization problems as twostage recourse problems of stochastic...
Persistent link: https://www.econbiz.de/10005858883
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Extreme value theory and Value-at-Risk : Relative performance in emerging markets
Gençay, Ramazan; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market … and historical simulation, we study the extreme value theory (EVT) to generate VaR estimates and provide the tail … results indicate that EVT based VaR estimates are more accurate at higher quantiles. According to estimated Generalized Pareto …
Persistent link: https://www.econbiz.de/10005859080