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Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …

Persistent link: https://www.econbiz.de/10010292668

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel; Katz, 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/10010421271

Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

Barendse, Sander; Kole, Erik; van Dijk, Dick - 2019

application to VaR and ES forecasts for daily FTSE 100 index returns as generated by AR-GARCH, AR-GJR-GARCH, and AR-HEAVY models …

Persistent link: https://www.econbiz.de/10012114811

How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?

Härdle, Wolfgang Karl; Ling, Chengxiu - 2018

Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an...

Persistent link: https://www.econbiz.de/10012433159

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications …. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a … function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR …

Persistent link: https://www.econbiz.de/10012611178

Flexible and robust modelling of volatility comovements: a comparison of two multifractal models

Liu, Ruipeng; Lux, Thomas - 2010

with those from an alternative bivariate multifractal model proposed by Calvet et al. (2006) and the bivariate CC-GARCH of … Bollerslev (1990). As it turns out, the multifractal models provide much more reliable results than CC-GARCH, and our new model …

Persistent link: https://www.econbiz.de/10010265839

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang Karl; Mungo, Julius - 2008

, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …

Persistent link: https://www.econbiz.de/10010274140

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010421286

On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles

Chen, James Ming - In: Risks 6 (2018) 2, pp. 1-28

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed,...

Persistent link: https://www.econbiz.de/10011996619

Model risk of contingent claims

Detering, Nils; Packham, Natalie - 2018

Paralleling regulatory developments, we devise value-at-risk and expected shortfall type risk measures for the potential losses arising from using misspecied models when pricing and hedging contingent claims. Essentially, losses from model risk correspond to losses realized on a perfectly hedged...

Persistent link: https://www.econbiz.de/10012433185