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Value at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the … corner stones in the Basel II accord about banks' equity requirements. Nevertheless, the practical application of the VaR … concept suffers from two problems: how to estimate VaR and how to optimize a portfolio for a given level of VaR? For the first …
Persistent link: https://www.econbiz.de/10010296148
performs relatively best in term of MSPE, followed by GARCH, Risk metrics and historical volatility. In terms of VaR, we test … that VaR forecasts at 90 % and 95% have desirable properties. Regarding 99% VaR forecasts, We find significant evidence …
Persistent link: https://www.econbiz.de/10011109012
This paper proposes a method for estimating the VaR of a portfolio based on copula and extreme value theory. Each …
Persistent link: https://www.econbiz.de/10010937120
, when we calculate a VaR (Value at Risk) with an instantaneous volatility to check the prediction performance. Furthermore …
Persistent link: https://www.econbiz.de/10005702699
This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts … and the time sample used for VaR backtesting. The calculated VaR values are then compared using three different testing …
Persistent link: https://www.econbiz.de/10005342981
Value at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the … corner stones in the Basel II accord about banks' equity requirements. Nevertheless, the practical application of the VaR … concept suffers from two problems: how to estimate VaR and how to optimize a portfolio for a given level of VaR? For the first …
Persistent link: https://www.econbiz.de/10008677262
evolutionary game theory of a financial market, where part of the investors use the VaR technique to manage their risk. We study …
Persistent link: https://www.econbiz.de/10014494552
evolutionary game theory of a financial market, where part of the investors use the VaR technique to manage their risk. We study …
Persistent link: https://www.econbiz.de/10014452090
questions have been answered using the literature review methodology. The VAR model is constructed to evaluate the relation … between the REIT market and macroeconomic factors. Ultimately, downside risk of REIT market is assessed by the GARCH(1,1)-VaR …
Persistent link: https://www.econbiz.de/10014528919
at Risk (VaR) calculation entails a numerically indirectprocedure. The Quantile Regression (QR) estimation is an …-KF) based on the QR approach thatcan be used to obtain robust SV model parameter estimates as well as VaR estimates. TheRQMM is … existing Nonlinear Filtering (NF) scheme.This approach is used in likelihood and VaR computations. This algorithm provides …
Persistent link: https://www.econbiz.de/10009431241