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Risk Modelling and Management: An Overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013

under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

Persistent link: https://www.econbiz.de/10010326135

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

Predicting the global minimum variance portfolio

Reh, Laura; Krüger, Fabian; Liesenfeld, Roman - 2020

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

Persistent link: https://www.econbiz.de/10012243462

Risk Everywhere : Modeling and Managing Volatility

Bollerslev, Tim - 2017

Based on a unique high-frequency dataset for more than fifty commodities, currencies, equity indices, and fixed income instruments spanning more than two decades, we document strong similarities in realized volatilities patterns across assets and asset classes. Exploiting these similarities...

Persistent link: https://www.econbiz.de/10012970195

Downside Risk Evaluation with the R Package GAS

Ardia, David - 2019

Financial risk managers routinely use non-linear time series models to predict the downside risk of the capital under management. They also need to evaluate the adequacy of their model using so-called backtesting procedures. The latter involve hypothesis testing and evaluation of loss functions....

Persistent link: https://www.econbiz.de/10012902645

Estimation with Flexible Probabilities : Identifying Rand Hedges, Finding Diversifiers, Enhancing Style Analysis

Flint, Emlyn James - 2019

At its core, portfolio and risk management is about gathering and processing market-related data in order to make effective investment decisions. To this end, risk and return statistics are estimated from relevant financial data and used as inputs within the investment process. It is this...

Persistent link: https://www.econbiz.de/10012893987

Moving Forward from Predictive Regressions : Boosting Asset Allocation Decisions

Nevasalmi, Lauri; Nyberg, Henri - 2021

We introduce a flexible utility-based empirical approach to directly determine asset allocation decisions between risky and risk-free assets. This is in contrast to the commonly used two-step approach where least squares optimal statistical equity premium predictions are first constructed to...

Persistent link: https://www.econbiz.de/10013249064

Empirical Risk Minimization for Time Series : Nonparametric Performance Bounds for Prediction

Brownlees, Christian T.; Llorens-Terrazas, Jordi - 2021

covers different types of forecasting applications encountered in the literature. We are concerned with 1-step …

Persistent link: https://www.econbiz.de/10013216191

Forecasting Expected Shortfall and Value-at-Risk with the FZ Loss and Realized Variance Measures

Chou, Ray Y. - 2020

measures as exogenous variables can deliver comparable or even better performances on forecasting VaR and ES of major stock …

Persistent link: https://www.econbiz.de/10012847881

Awareness of Crash Risk Improves Kelly Strategies in Simulated Financial Time Series

Gerlach, J-C - 2020

(2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete … jumps are proportional to the bubble size. Thus, the jumps tend to efficiently bring back excess bubble prices close to a … “normal” or fundamental value (“efficient crashes”). This is different from existing processes studied that assume jumps that …

Persistent link: https://www.econbiz.de/10012836362