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Kreditrisiko (CreditMetrics)
Heidorn, Thomas - 1999
Persistent link: https://www.econbiz.de/10004139969
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Parametrische Modelle zur Ermittlung des Value-at-Risk
Read, Oliver - 1998
Persistent link: https://www.econbiz.de/10004379529
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Regime-switching in volatility and correlation structure using range-based models with Markov-switching
Miao, Daniel Wei-Chung; Wu, Chun-Chou; Su, Yi-Kai - In: Economic Modelling 31 (2013) C, pp. 87-93
This study examines latent shifts in the conditional volatility and correlation for the U.S. stock and T-bond data … using the two-state Markov-switching range-based volatility and correlation models. This paper comes up with clear evidence … of volatility regime-switching in stock indices and T-bond over the crisis period. As regards the process of correlation …
Persistent link: https://www.econbiz.de/10010636268
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Predicting future price volatility: Empirical evidence from an emerging limit order market
Jain, Pawan; Jiang, Christine - In: Pacific-Basin Finance Journal 27 (2014) C, pp. 72-93
volatility. However, this predictive power of the LOB declines during extreme market-wide movements. We also find that buy orders … are more informative for future price volatility than sell orders, but sell (buy) orders become more informative during …
Persistent link: https://www.econbiz.de/10010785048
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The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
Busse, Marc; Dacorogna, Michel; Kratz, Marie - ESSEC Business School - 2013
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 the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...
Persistent link: https://www.econbiz.de/10010832994
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The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
Busse, Marc; Dacorogna, Michel; Kratz, Marie - HAL - 2013
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 the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...
Persistent link: https://www.econbiz.de/10010899196
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What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Emmer, Suzanne; Kratz, Marie; Tasche, Dirk - HAL - 2013
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...
Persistent link: https://www.econbiz.de/10010821003
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The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
Busse, Marc; Dacorogna, Michel; Kratz, Marie - In: Risks 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/10011030572
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Subadditivity of Value-at-Risk for Bernoulli random variables
Hofert, Marius; McNeil, Alexander J. - In: Statistics & Probability Letters 98 (2015) C, pp. 79-88
Necessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aRα is subadditive. However, for any α one can construct portfolios for which V aRα is superadditive.
Persistent link: https://www.econbiz.de/10011189346
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Estimation Adjusted VaR
Gouriéroux, Christian; Zakoian, Jean-Michel - Centre de Recherche en Économie et Statistique … - 2012
to stochastic drift and volatility models. The finite sample properties of the EVaR estimator are studied by simulation …
Persistent link: https://www.econbiz.de/10010575237