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Decomposing portfolio value-at-risk : a general analysis
Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999
orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …
Persistent link: https://www.econbiz.de/10011301159
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Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19
number of very important processes in finance. We then obtain an estimation for the distribution of hedging error by …
Persistent link: https://www.econbiz.de/10012484861
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Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk
Makarov, Roman - In: Risks : open access journal 11 (2023) 12, pp. 1-24
individually. We present the conditional maximum likelihood estimation (MLE) method for fitting asset price processes to empirical … properties of the proposed model, its parameter estimation using the MLE method and least-squares technique, the evaluation of … estimation and evaluation methodologies. Computational results are compared with Monte Carlo estimates. …
Persistent link: https://www.econbiz.de/10014446758
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On volatility smile and an investment strategy with out-of-the-money calls
Talponen, Jarno - In: Mathematics and financial economics 10 (2016) 2, pp. 113-125
Persistent link: https://www.econbiz.de/10011485897
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Option-implied objective measures of market risk
Leiss, Matthias; Nax, Heinrich H. - In: Journal of banking & finance 88 (2018), pp. 225-240
Persistent link: https://www.econbiz.de/10011962908
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
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The pricing of idiosyncratic risk : evidence from the implied volatility distribution
Süss, Stephan - In: Financial markets and portfolio management 26 (2012) 2, pp. 247-267
Persistent link: https://www.econbiz.de/10009553644
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Analysis of stochastic PDEs arising from large portfolios of stochastic volatility models
Kolliopoulos, Nikolaos - 2018
Persistent link: https://www.econbiz.de/10012386950
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
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Asymmetry, Tail Risk and Time Series Momentum
Liu, Zhenya - 2020
Similar to the cross-sectional momentum crashes, the time series momentum experiences deep and persistent drawdowns in the stressed time of slumps in the upward momentum, rebounds in the downward momentum, and long time sideways market. We measure the upside and downside risk using the upper and...
Persistent link: https://www.econbiz.de/10012837251