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Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility

Rippel, Milan; Jánský, Ivo - Institut ekonomických studií, Univerzita Karlova v Praze - 2011

The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and …

Persistent link: https://www.econbiz.de/10009216657

Value at risk forecasting with the ARMA-GARCH family of models in times of increased volatility

Jánský, Ivo; Rippel, Milan - 2011

The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and …

Persistent link: https://www.econbiz.de/10010322244

The Impact of Parameter and Model Uncertainty on Market Risk Predictions from GARCH-Type Models

Ardia, David - 2019

VaR forecasts. To this end, we evaluate the predictive performance of several GARCH-type models estimated via Bayesian and … indexes are predicted over about 13 years from the early 2000s. We find that Bayesian predictive densities improve the VaR … backtest at the 1% risk level for single models and for linear and log pools. We also find that the robust VaR backtest …

Persistent link: https://www.econbiz.de/10012903836

A Multivariate Approach for the Simultaneous Modelling of Market Risk and Credit Risk for Cryptocurrencies

Fantazzini, Dean - 2019

This paper proposes a set of models which can be used to estimate the market risk for a portfolio of crypto-currencies, and simultaneously to estimate also their credit risk using the Zero Price Probability (ZPP) model by Fantazzini et al (2008), which is a methodology to compute the...

Persistent link: https://www.econbiz.de/10012863029

Systemic risk for financial institutions of major petroleum-based economies: The role of oil

Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔcoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...

Persistent link: https://www.econbiz.de/10012064299

Systemic risk for financial institutions of major petroleum-based economies : the role of oil

Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: June 2017

conditional VaR (CoVaR) for the financial institutions and verify the interdependence between the systemic risk and oil, both on a …

Persistent link: https://www.econbiz.de/10011662132

Systemic risk for financial institutions of major petroleum-based economies : the role of oil

Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: November 5, 2017

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔCoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...

Persistent link: https://www.econbiz.de/10012062097

Comparing the Supremum Augmented Dickey Fuller and Log Periodic Power Law Frameworks for Identifying Bubbles

Bertelsen, Kristoffer Pons - 2020

This paper compares the ability of the log periodic power law (LPPL) procedure and the supremum augmented Dickey Fuller (supremum ADF) tests to confirm or reject the presence of bubbles in various time series simulations. We develop a time stamping method for the LPPL procedure and derive a more...

Persistent link: https://www.econbiz.de/10012849157

Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure

Yang, Bill Huajian - 2017

Common ordinal models, including the ordered logit model and the continuation ratio model, are structured by a common score (i.e., a linear combination of a list of given explanatory variables) plus rank specific intercepts. Sensitivity with respect to the common score is generally not...

Persistent link: https://www.econbiz.de/10015256549

Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises

Caporin, Massimiliano - 2013

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

Persistent link: https://www.econbiz.de/10013074792