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The new hybrid value at risk approach based on the extreme value theory
Radivojevic, Nicola; Cvjetkovic, Milena; Stepanov, Saša - In: Estudios de Economía 43 (2016) 1, pp. 29-52
of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable …
Persistent link: https://www.econbiz.de/10011538775
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¿Qué tan sensibles son los mercados financieros al brote por COVID-19? Evidencia de los mercados de Estados Unidos y Colombia
Ramírez Quintero, James Duvan; Marulanda Piedrahita, … - In: Revista de Métodos Cuantitativos para la Economía y … 36 (2023), pp. 1-23
at risk (VaR) and Median Shortfall (MS), applying a statistical methodology that considers the use of parametric and non …
Persistent link: https://www.econbiz.de/10014494562
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The Age of Turbulence - Credit Derivatives Style
Byström, Hans - 2010
This paper focuses on the many extreme credit default swap spread movements observed during the recent credit crisis and on how the tails of the spread (and price) change distribution significantly differ from those of the normal distribution even for diversified credit derivatives portfolios....
Persistent link: https://www.econbiz.de/10013208532
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Marktpreisrisiko-Reporting bei Nichtfinanzinstituten nach IFRS 7: empirische Befunde zum Einsatz von Value at Risk und Sensitivitätsanalysen bei kapitalmarktorientierten Unternehme...
Fürst, Benedikt; Henselmann, Klaus; Klein, Martin - 2009
The paper shows the ways of disclosing financial risks by IFRS 7 and certain types of sensitivity analysis. The different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for reporting are faced critically. Following, the manner of...
Persistent link: https://www.econbiz.de/10010299998
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Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
Schaumburg, Julia - 2010
This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The … specifications of the Conditionally Autoregressive VaR (CAViaR) models. …
Persistent link: https://www.econbiz.de/10010270817
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Modelo evolutivo del impacto de técnicas VaR en los mercados financieros
Llacay, Bàrbara; Peffer, Gilbert - In: Revista de Métodos Cuantitativos para la Economía y … 36 (2023), pp. 1-25
evolutionary game theory of a financial market, where part of the investors use the VaR technique to manage their risk. We study …
Persistent link: https://www.econbiz.de/10014494552
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Financial market regulation in Germany under the special focus of capital requirements of financial institutions
Detzer, Daniel - 2014
This paper examines capital adequacy regulation in Germany. After a short overview about financial regulation in Germany in general, the paper focuses on the most important development in the area of capital adequacy regulation from the 1930s up to the financial crisis. Two main trends are...
Persistent link: https://www.econbiz.de/10010333713
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Aggregate Insider Trading and Stock Market Volatility in the UK
Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023
specifically, a Vector Autoregression (VAR) model is estimated and Impulse Response analysis as well as Forecast Error Variance …
Persistent link: https://www.econbiz.de/10014377485
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen …. In addition to widely used VaR and ES models, we also study the behavior of conditional and unconditional extreme value …
Persistent link: https://www.econbiz.de/10010265962
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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Faysal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-25
The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...
Persistent link: https://www.econbiz.de/10011559137