An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk … ; Naive diversification ; Out-ofsample performance ; Risk function ; Shrinkage estimation …In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

ambiguity. We show that in such contexts robust estimation methods are essential for (i) limiting the sensitivity of robust … robust estimation methodology, applicable to many economic settings of ambiguity. In the robust portfolio problem, unknown … our robust approach. Time-varying features can also produce large biases in estimated equilibrium risk or ambiguity premia …

how many periods should be available for assessing credit risk taking account of estimation uncertainty if bootstrapping … available for similar results. -- confidence region ; credit portfolio risk ; estimation uncertainty ; bootstrapping …For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these …

clear that estimation uncertainty does indeed have an effect on interest rates. -- Credit portfolio risk ; estimation …This article seeks to make an assessment of estimation uncertainty in a multi-rating class loan portfolio …. Relationships are established between estimation uncertainty and parameters such as probability of default, intra- and inter …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the … EV models, especially in the developed markets. -- value at risk ; expected shortfall ; hybrid historical simulation …

investigated. The methods are based on a bootstrap algorithm that adjusts mean and skewness of the bootstrap distribution of the …

heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the … finite-sample properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo … simulations. We also present a three-step estimation procedure of the parameters of the SVAR-GARCH model that promises numerical …