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Beyond ‘Bayesian vs. Var’ Dilemma to Empirical Model Risk Management : Managing Risk for Hedge Funds
Malhotra, Yogesh - 2023
In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...
Persistent link: https://www.econbiz.de/10014263882
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Beyond ‘Bayesian vs. VaR’ Dilemma to Empirical Model Risk Management : How to Manage Risk (After Risk Management Has Failed) for Hedge Funds
Malhotra, Yogesh - 2015
In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...
Persistent link: https://www.econbiz.de/10013031477
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Interquantile expectation regression
Barendse, Sander - 2017
interval between two quantiles, or in an interval that covers the range of the distribution to the left or right of a quantile …
Persistent link: https://www.econbiz.de/10011622915
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Nonparametric Estimation of Conditional Expected Shortfall
SCAILLET, Olivier - Swiss Finance Institute - 2004
knowing that losses are larger than a given loss quantile. We derive the asymptotic properties of kernal estimators of …
Persistent link: https://www.econbiz.de/10005248410
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Bank regulation and stability : an examination of the Basel market risk framework
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - 2012
In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....
Persistent link: https://www.econbiz.de/10009528885
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Assessing the risk-return trade-off in loans portfolios
Mencía, Javier - Banco de España - 2009
This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...
Persistent link: https://www.econbiz.de/10004969766
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Stress testing by financial intermediaries : implications for portfolio selection and asset pricing
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of financial intermediation 18 (2009) 1, pp. 65-92
Persistent link: https://www.econbiz.de/10003813182
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A comparison of the original and revised Basel market risk frameworks for regulating bank capital
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Journal of Economic Behavior & Organization 85 (2013) C, pp. 249-268
Recognizing that many banks suffered trading losses that notably exceeded their minimum capital requirements during the recent crisis, the Basel Committee on Banking Supervision (2011) revised its regulatory framework for trading portfolios. In this paper, we compare: (1) the relative...
Persistent link: https://www.econbiz.de/10010608210
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Choosing put option parameters based on quantiles from the distribution of portfolio value
Bell, Peter Newton - Volkswirtschaftliche Fakultät, … - 2014
model introduced in Bell (2014) by allowing both the quantity and strike price to vary. I use the 5% quantile from the … portfolio distribution to measure riskiness and compare different put options. I report a so-called ‘quantile surface’ that … shows the quantile across different combinations of quantity and strike price. I find that it is possible to maximize the …
Persistent link: https://www.econbiz.de/10011109243
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Sensitivity Analysis of Values at Risk.
Gourieroux, C.; Laurent, J.P.; Scaillet, O. - 2000
The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expresssions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a loval...
Persistent link: https://www.econbiz.de/10005486768