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GFC-Robust Risk Management Strategies under the Basel Accord

McAleer, Michael - 2010

-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point …

Persistent link: https://www.econbiz.de/10013137384

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

McAleer, Michael - 2009

Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and...

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

Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns

Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018

"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...

Persistent link: https://www.econbiz.de/10011761934

Asymetric Dependence in Finance : Diversification, Correlation and Portfolio Management in Market Downturns

Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018

Cover -- Title Page -- Copyright -- Contents -- About the Editors -- Introduction -- Chapter 1: Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence -- 1.1 Introduction -- 1.2 From Skiadas Preferences to Asset Prices -- 1.3 Consistently Measuring Asymmetric Dependence --...

Persistent link: https://www.econbiz.de/10011841506

Hedging potentials of green investments against climate and oil market risks

Adediran, Idris A.; Swaray, Raymond; Orekoya, Aminat O.; … - In: Fulbright review of economics and policy 3 (2023) 1, pp. 49-73

) approach to evaluating the hedging effectiveness of clean energy stocks. The out-of-sample forecast evaluations of the oil risk … Diebold & Mariano forecast evaluation test for nested and non-nested models, respectively. Findings - The study finds ample … also conducts forecast evaluations of the clean energy predictive models for nested and non-nested models. …

Persistent link: https://www.econbiz.de/10014310571

When Growth Beats Value : Removing Tail Risk From Global Equity Momentum Strategies

Clare, Andrew - 2018

We investigate the relationship between Value, Growth and two forms of Momentum across a wide range of developed and emerging international equity markets using MSCI total return ‘smart beta' indices. As would be anticipated, Value generally beats Growth. A distinction is then made between...

Persistent link: https://www.econbiz.de/10012937972

Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk

Grobys, Klaus - 2017

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases,...

Persistent link: https://www.econbiz.de/10012964844

Disentangling anomalies : risk versus mispricing

Birru, Justin; Mohrschladt, Hannes; Young, Trevor - 2020

Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower average returns. Because speculative stocks overlap with stocks deemed risky by rational models, failing to control for exposure to systematic mispricing can bias tests of...

Persistent link: https://www.econbiz.de/10012388392

Accuracy in risk estimation based on simple SMA and EWNA models : evidence from Macedonain Stock Market

Angelovska, Julijana; Ivanovski, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 17-27

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of great importance to theorists and practitioners. Models used to estimate volatility forecasts are translated into better pricing of stocks and better risk management. The aim...

Persistent link: https://www.econbiz.de/10011901688

From Risk Parity to Outcome Risk Parity : A Review and Extension of the Risk Parity Portfolio with Return Predictability

Renzi-Ricci, Giulio; Harvey, Oliver; Baynes, Lucas - 2023

Risk parity methods focused on volatility have gained traction in the last decade. A few extensions have been proposed, including tail risk parity. The authors show that, at its limits, tail risk parity converges towards the risk parity portfolio or the tangency portfolio. The authors also...

Persistent link: https://www.econbiz.de/10014350546

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