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Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation … movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often …

Persistent link: https://www.econbiz.de/10012302139

Aggregating credit and market risk : the impact of model specification

Lucas, André; Verhoef, Bastiaan - 2012

Persistent link: https://www.econbiz.de/10010191011

Uncertainty due to infectious diseases and stock-bond correlation

Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-18

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of...

Persistent link: https://www.econbiz.de/10012504028

Ruin Probabilities for Risk Processes in Stochastic Networks

Amini, Hamed; Cao, Zhongyuan; Minca, Andreea; Sulem, Agnes - 2023

We study multidimensional Cram\'er-Lundberg risk processes where agents, located on a large sparse network, receive losses form their neighbors. To reduce the dimensionality of the problem, we introduce classification of agents according to an arbitrary countable set of types. The ruin of any...

Persistent link: https://www.econbiz.de/10014254603

Predicting Risk with Risk Measures : An Empirical Study

Bräutigam, Marcel - 2018

In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify the pro-cyclicality of the current way financial...

Persistent link: https://www.econbiz.de/10012919289

Lambda Value at Risk and Regulatory Capital : A Dynamic Approach to Tail Risk

Hitaj, Asmerilda - 2018

This paper presents the first methodological proposal of estimation of the Lambda VaR. Our approach is dynamic and … measures. We also propose a simple backtesting methodology by extending the VaR hypothesis-testing framework. Hence, we test … our Lambda VaR proposals under extreme downward scenarios of the financial crisis and different assumptions on the profit …

Persistent link: https://www.econbiz.de/10012934477

Lambda value at risk and regulatory capital : a dynamic approach to tail risk

Hitaj, Asmerilda; Mateus, Cesario; Peri, Ilaria - In: Risks : open access journal 6 (2018) 1, pp. 1-18

This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated … measures. We also propose a simple backtesting methodology by extending the VaR hypothesis-testing framework. Hence, we test … our VaR proposals under extreme downward scenarios of the financial crisis and different assumptions on the profit and …

Persistent link: https://www.econbiz.de/10011811561