Showing 71 - 80 of 9,152
empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …
Persistent link: https://www.econbiz.de/10012887264
We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution …-and-h distributed residuals to three European stock indices and provide results of out-of-sample Value-at-Risk backtests. We find that …
Persistent link: https://www.econbiz.de/10013138164
Financial risk managers routinely use non-linear time series models to predict the downside risk of the capital under … prediction and the evaluation of downside risk. Emphasis is given to the two key financial downside risk measures: Value-at-Risk …
Persistent link: https://www.econbiz.de/10012902645
Risk transmission among financial markets and their participants is time- evolving, especially for the extreme risk … scenarios. Possibly sudden time variation of such risk structures ask for quantitative technology that is able to cope with such … situations. Here we present a novel localized multivariate CAViaR-type model to respond to the challenge of time-varying risk …
Persistent link: https://www.econbiz.de/10012827644
, which is called G-bounds. Constructed G-bounds evaluate risk in the financial markets more carefully than models based on …, the closer the risk of losses on the stock market to the corresponding risk of loss for a normal distribution, the higher …
Persistent link: https://www.econbiz.de/10011877599
Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this … correlation), and that the bivariate forecasts provided by a risk methodology based on historical innovations performs correctly … long-memory ARCH volatility model is used …
Persistent link: https://www.econbiz.de/10013405681
We develop and implement linear formulations of general N-th order Stochastic Dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implemented by solving a relatively small system of...
Persistent link: https://www.econbiz.de/10012940302
We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and we demonstrate how the problem then falls into the LQG...
Persistent link: https://www.econbiz.de/10012980026
-chosen equity market and implied volatility indexes over ten years. We describe such robust (to spurious correlation) relationship … volatility channels is accurately measured across quantiles and spreads. Such quantile-dependent sensitivity exhibits asymmetric … sub-periods and spreads. Therefore, the relationship is unstable over time. We also propose a scenario analysis and risk …
Persistent link: https://www.econbiz.de/10012934158
This paper extends the project initiated in and studies a lifecycle portfolio choice problem with borrowing constraints and finite retirement time in which an agent receives labor income that adjusts to financial market shocks in a path dependent way. The novelty here, with respect to, is the...
Persistent link: https://www.econbiz.de/10013243293