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Risk Modeling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Department of Economics and Finance, College of … - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modeling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010907434
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Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology
Cayton, Peter Julian A.; Mapa, Dennis S. - Volkswirtschaftliche Fakultät, … - 2012
ability to model higher parameters with time-varying structure using maximum likelihood estimation techniques. Two procedures … of modeling with the Johnson distribution are introduced: joint estimation of the volatility and two-step procedure where … estimation of the volatility is separate from the estimation of higher parameters. The procedures were demonstrated on Philippine …
Persistent link: https://www.econbiz.de/10009647299
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It Pays to Violate: How Effective are the Basel Accord Penalties?
McAleer, Michael; da Veiga, da Veiga, B.; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 2009
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10010731585
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The ten commandments for optimizing value-at-risk and daily capital charges
McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2008
) single index and portfolio models; (5) parametric, semiparametric and nonparametric models; (6) estimation, simulation and …
Persistent link: https://www.econbiz.de/10010731770
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; McAleer, Michael; perez-amaral, teodosio; … - Faculteit der Economische Wetenschappen, Erasmus … - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010732625
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What Happened to Risk Management During the 2008-09 Financial Crisis?
McAleer, Michael; Jimenez-Martin, Jimenez-Martin, J-A.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2009
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the...
Persistent link: https://www.econbiz.de/10010732629
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Institute of Economic Research, Kyoto University - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010674394
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David Edmund; McAleer, Michael; … - Facultad de Ciencias Económicas y Empresariales, … - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010778723
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Dynamic factor Value-at-Risk for large heteroskedastic portfolios
Aramonte, Sirio; Rodriguez, Giudice; del, Marius; Wu, Jason - In: Journal of Banking & Finance 37 (2013) 11, pp. 4299-4309
We propose a methodology that can efficiently measure the Value-at-Risk (VaR) of large portfolios with time-varying volatility and correlations by bringing together the established historical simulation framework and recent contributions to the dynamic factor models literature. We find that the...
Persistent link: https://www.econbiz.de/10010703262
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10011256696