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The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical …-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …
Persistent link: https://www.econbiz.de/10012989295
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This … is done in order to obtain a 'liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The …
Persistent link: https://www.econbiz.de/10013138014
for market risk. The Committee has focused, among other things, on the two key areas of moving from Value-at-Risk (VaR) to … Expected Shortfall (ES) and considering a comprehensive incorporation of the risk of market illiquidity by extending the risk … measurement horizon. The estimation of the ES for several trading desks and taking into account different liquidity horizons is …
Persistent link: https://www.econbiz.de/10012967259
loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …) on the daily closing price of JKII from 1 August 2020-13 August 2021 to predict the price and loss risk of JKII at 16 … 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one …
Persistent link: https://www.econbiz.de/10012800645
Persistent link: https://www.econbiz.de/10003964894
This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty …
Persistent link: https://www.econbiz.de/10011895010
Persistent link: https://www.econbiz.de/10014316038
Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper … introduces the stochastic volatility shock that follows a thick-tailed Student's t-distribution into a high-order approximate … uncertainty risk on macroeconomics. Then, the high-dimensional DSGE model (DSGE-SV-t) is developed to examine the impact of …
Persistent link: https://www.econbiz.de/10013272633
. Under the assumption that the market price of risk is proportional to volatility, we can derive closed form expressions for …From an empirical perspective, the stochasticity of volatility is manifest, yet there have been relatively few attempts … to reconcile this fact with Merton's theory of optimal portfolio selection for wealth maximising agents. In this paper we …
Persistent link: https://www.econbiz.de/10013022675
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