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Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises

Caporin, Massimiliano - 2013

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

Persistent link: https://www.econbiz.de/10013074792

Forecasting financial crashes : a dynamic risk management approach

Gerlach, Jan-Christian; Zhao, Dongshuai; Sornette, Didier - 2020

Since 2009, stock markets have resided in a long bull market regime. Passive investment strategies have succeeded during this low-volatility growth period. From 2018 on, however, there was a transition into a more volatile market environment interspersed by corrections increasing in amplitude...

Persistent link: https://www.econbiz.de/10012419688

Bitcoin an Asset Class – Market Risk Assessment for Indian Investors

Shah, Anand - 2018

financial risk. In our two year sample, the standard deviation, Value at Risk (VaR) and expected shortfall (ES) for Bitcoin were … the static ex-post risk performance measures such as Sharpe ratio, Sortino ratio, VaR ratio and the expected shortfall … standard deviation and VaR for Bitcoin could be higher in the first quarter of 2018 …

Persistent link: https://www.econbiz.de/10012928087

The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time

Oskay, Bora - 2018

Persistent link: https://www.econbiz.de/10012913510

Quantifying Market Risk with Value-at-Risk or Expected Shortfall? - Consequences for Capital Requirements and Model Risk

Kellner, Ralf - 2018

The Basel Committee on Banking Supervision recently proposed fundamental changes in the regulatory treatment of financial institutions' trading book positions. Among others, a replacement of Value-at-Risk (α=0.99) by Expected Shortfall (α=0.975) for the quantification of market risk is...

Persistent link: https://www.econbiz.de/10012927146

The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

McAleer, Michael - 2009

for optimizing Value-at-Risk (VaR) and daily capital charges, based on choosing wisely from: (1) conditional, stochastic … taking at the expense of providing accurate measures and forecasts of risk and VaR …

Persistent link: https://www.econbiz.de/10014210046

Market Risk When Hedging a Global Credit Portfolio

Chamizo, Alvaro - 2019

We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the face of decreased correlations between single name CDSs and credit indices. The interest of such hedge comes from the fact that the calculation of the capital charge for CVA risk,...

Persistent link: https://www.econbiz.de/10012894134

Model-free Analysis of Dynamic Trading Strategies

Ananova, Anna; Cont, Rama; Xu, Renyuan - 2023

We introduce a model-free approach based on {\it excursions} of trading signals for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading and other statistical arbitrage strategies. We propose a mathematical framework for the risk analysis of such...

Persistent link: https://www.econbiz.de/10014353654

Exponential Probability Distribution Function for Asset Value Difference

Ali, Muhammad - 2019

This paper presents mathematical formulation for the probability distribution function of asset value difference using canonical ensemble framework. For asset value significantly smaller than the total market value, the distribution is given by exponential function, which depends on market-eta...

Persistent link: https://www.econbiz.de/10012864207

Global and Asset Class Diversified ETF Portfolio Strategy - A Convex Mean/CVaR Optimization Approach using Dynamic Copulas with Flexible Probabilities

Mantesso F, Flavio; Ahmed, Joe; Flores, Mauro - 2023

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

Persistent link: https://www.econbiz.de/10014254526