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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

International Evidence on GFC-Robust Forecasts for Risk Management Under the Basel Accord

McAleer, Michael - 2011

A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of 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...

Persistent link: https://www.econbiz.de/10013131430

GFC-Robust Risk Management Strategies under the Basel Accord

McAleer, Michael - 2010

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...

Persistent link: https://www.econbiz.de/10013137384

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

Model averaging in risk management with an application to futures markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - In: Journal of empirical finance 16 (2009) 2, pp. 280-305

Persistent link: https://www.econbiz.de/10003839329

A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes

Cooper, Ilan - 2020

Value and momentum returns and combinations of them are explained by their loadings on global macroeconomic risk factors across both countries and asset classes. These loadings describe why value and momentum have positive return premia while at the same time being negatively correlated. The...

Persistent link: https://www.econbiz.de/10012855570

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

Persistent link: https://www.econbiz.de/10013316571

Modelling and Forecasting Noisy Realized Volatility

Asai, Manabu - 2009

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent (modified)...

Persistent link: https://www.econbiz.de/10013156240

Important facts on comparative backtesting of Value at Risk

Saissi Hassani, Samir - 2022

VaR remains important in market risk management as Basel keeps most of the backtesting based on 1% VaR. Comparative backtesting as practiced in the current literature suffers from a major double problem. On the one hand, the score functions, although strictly consistent, may assign very good or...

Persistent link: https://www.econbiz.de/10013294397

A decision rule to minimize daily capital charges in forecasting value-at-risk

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2008

Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates...

Persistent link: https://www.econbiz.de/10003893363

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