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Value-at-risk: the comparison of state-of-the-art models on varous assets

Kielak, Karol; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322235

Cross-hedging minimum return guarantees : basis and liquidity risks

Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109

Persistent link: https://www.econbiz.de/10010425003

Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustne...

Shaw, William Thornton - 2011

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. We … generated. DeVroye's approach to sampling the interior of a simplex (a collection of non-negative random variables adding to …-Edge-Vertex-biased sampling. A practical scheme for long-only and bounded short problems is developed and tested. Non-convex and disconnected …

Persistent link: https://www.econbiz.de/10013124340

Asymptotic Distribution of the Sample Average Value-at-Risk in the Case of Heavy-Tailed Returns

Stoyanov, Stoyan V. - 2010

In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk when the distribution of the underlying random variable X describing portfolio returns is heavy-tailed. We illustrate the convergence rate in the limit theorem assuming that X has...

Persistent link: https://www.econbiz.de/10013134876

Tail dependence in financial markets : a dynamic copula approach

Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14

This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model´s parameters and in the computation of Value-at-Risk (VaR). Results...

Persistent link: https://www.econbiz.de/10012127765

Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing

Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2005

Persistent link: https://www.econbiz.de/10002817530

Risk management of variable annuities

Ruez, Frederik - 2017

Persistent link: https://www.econbiz.de/10012659889

Default risk and cross section of returns

Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15

Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...

Persistent link: https://www.econbiz.de/10012022028

Risk management of financial crises : an optimal investment strategy with multivariate jump-diffusion models

Wang, Chou-Wen; Huang, Hong-Chih - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 501-525

Persistent link: https://www.econbiz.de/10011729607

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill …

Persistent link: https://www.econbiz.de/10011302625

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