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Analyzing fixed-event forecast revisions
Chang, Chia-Lin; Bruijn, Bert de; Franses, Philip Hans; … - 2013
Persistent link: https://www.econbiz.de/10009765842
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of...
Persistent link: https://www.econbiz.de/10011431395
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A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been identified with using VaR for determining regulatory capital...
Persistent link: https://www.econbiz.de/10010532611
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Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance
Chang, Chia-Lin - 2016
We compare Value at Risk (VaR) and Expected Shortfall (ES) following a Stochastic Dominance (SD) approach frequently used to order distributions in terms of welfare and in portfolio selection. Basel Committee on Banking Supervision (BCBS) recommends bank risk managers to shift the current...
Persistent link: https://www.econbiz.de/10012996938
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Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
Chang, Chia-Lin - 2009
is used to forecast the 1-day ahead conditional correlations. The paper presents evidence of volatility spillovers and …
Persistent link: https://www.econbiz.de/10013159943
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Modeling Conditional Correlations for Risk Diversification in Crude Oil Markets
Chang, Chia-Lin - 2009
This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of international crude oil markets, namely Brent, WTI and Dubai, to aid in risk diversification. Conditional correlations...
Persistent link: https://www.econbiz.de/10013159992
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How accurate are government forecasts of economic fundamentals? : the case of Taiwan
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008670005
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How accurate are government forecasts of economic fundamentals? The case of Taiwan
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003877073
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How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan
Chang, Chia-Lin - 2009
A government's ability to forecast key economic fundamentals accurately can affect business confidence, consumer … frequent revisions that are made to initial, and even revised, official forecasts. A government forecast based on an … forecast economic fundamentals for Taiwan shows the relevance of the proposed methodological approach. The empirical analysis …
Persistent link: https://www.econbiz.de/10013158278
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Analyzing fixed-event forecast revisions
Chang, Chia-Lin; Bruijn, Bert de; Franses, Philip Hans; … - In: International journal of forecasting 29 (2013) 4, pp. 622-627
Persistent link: https://www.econbiz.de/10010212461