Transaction cost variance introduces a risk often neglected in portfolio optimization. We define a mean-variance portfolio optimization problem and show that including a transaction cost variance term significantly impacts the performance of these portfolios. Transaction cost variance is...

The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge...

We evaluate popular measures of hedge fund tail risk such as maximum drawdown (MDD) and worst one-period loss, and prove theoretically that realized tail risk is a downward-biased estimator of true tail risk. The bias can be almost 100% using a reasonable calibration. That is, true tail risk can...

Geopolitical events can impact volatilities of all assets, asset classes, sectors and countries. It is shown that innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We introduce a definition of geopolitical risk which is...

This paper uses granular bond portfolio data to study how banking systems across the European Union (EU) adjust their asset holdings in response to regulatory solvency shocks. We also study the impact of these shocks at financial intermediaries on the prices of bonds in their portfolio. Despite...

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....

Данная часть завершает серию консультационных публикаций Деана Фантаццини на тему «Эконометрический анализ финансовых данных в задачах управления риском». В...

Во 2-м номере нашего журнала за 2008 г. была начата серия консультационных публикаций Деана Фантаццини, посвященных эконометрическому анализу финансовых данных в...

Журнал продолжает публикацию консультации Дйана Фантаццини, посвященной эконометрическому анализу финансовых данных в задачах управления риском. В данном...