Narrow search
Showing 1 - 10 of 577
Cover Image
International Evidence on GFC-Robust Forecasts for Risk Management Under the Basel Accord
McAleer, Michael - 2011
selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al …. (2010c). The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models … for the entire period. This paper presents evidence to support the claim that the median point forecast of VaR is …
Persistent link: https://www.econbiz.de/10013131430
Cover Image
GFC-Robust Risk Management Strategies under the Basel Accord
McAleer, Michael - 2010
-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point …
Persistent link: https://www.econbiz.de/10013137384
Cover Image
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - 2014
Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....
Persistent link: https://www.econbiz.de/10010259630
Cover Image
The impact of jumps and leverage in forecasting co-volatility
Asai, Manabu; McAleer, Michael - 2015
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013)such that the estimated matrix is positive definite. Using this approach we can disentangle the...
Persistent link: https://www.econbiz.de/10010477100
Cover Image
GFC-robust risk management under the Basel accord using extreme value methodologies
Jiménez-Martín, Juan-Ángel; McAleer, Michael; Pérez … - 2013
Persistent link: https://www.econbiz.de/10009765824
Cover Image
Has the Basel accord improved risk management during the global financial crisis?
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2013
Persistent link: https://www.econbiz.de/10009724104
Cover Image
Realized Volatility Risk
Allen, David E. - 2010
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10013149893
Cover Image
Analyzing fixed-event forecast revisions
Chang, Chia-Lin; Bruijn, Bert de; Franses, Philip Hans; … - 2013
Persistent link: https://www.econbiz.de/10009765842
Cover Image
GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
Jimenez-Martin, Juan-Angel; McAleer, Michael; Amaral, … - 2013
In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models...
Persistent link: https://www.econbiz.de/10010326321
Cover Image
The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
McAleer, Michael - 2009
Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and...
Persistent link: https://www.econbiz.de/10014210046