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Advancing Financial Risk Estimates by Incorporating GARCH Into Value at Risk

Oskay, Bora - 2018

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The aim is to analyze its performance, and mitigate its pitfalls by incorporating conditional variance estimates, as generated by a GARCH model. Notably, this paper tests several...

Persistent link: https://www.econbiz.de/10012925488

Modeling and Forecasting Macroeconomic Downside Risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021

We document a substantial increase in downside risk to US economic growth over the last 30 years. By modelling secular trends and cyclical changes of the predictive density of GDP growth, we find an accelerating decline in the skewness of the conditional distributions, with significant,...

Persistent link: https://www.econbiz.de/10013226483

Enhancing Risk Parity by Including Views

Haesen, Daniel - 2016

Within the finance literature there is an apparent gap between the inherent risk premium ignorance of a risk parity approach on the one hand and the assumed risk premium clairvoyance of a mean variance approach on the other. We propose a portfolio selection framework that allows an investor to...

Persistent link: https://www.econbiz.de/10013006070

Large-scale portfolio allocation under transaction costs and model uncertainty

Hautsch, Nikolaus; Voigt, Stefan - 2017

We theoretically and empirically study large-scale portfolio allocation problems when transaction costs are taken into account in the optimization problem. We show that transaction costs act on the one hand as a turnover penalization and on the other hand as a regularization, which shrinks the...

Persistent link: https://www.econbiz.de/10011755791

Uncertainty in the Black-Litterman model : a practical note

Fuhrer, Adrian; Hock, Thorsten - 2019 - Version: July 15, 2019

allerdings nur mit Unsicherheit geschätzt werden können, dann tendiert die Mean-Varianz-Optimierung zu einer Maximierung der … Vermögensallokation weit verbreitet. Es erlaubt die Integration von Rendite-Prognosen und deren Unsicherheit. Beide Größen können mit den …-Optimierung. Im Black-Litterman-Modell wird die Unsicherheit bezüglich der leichgewichtsrenditen ausschließlich mit dem Parameter …

Persistent link: https://www.econbiz.de/10012042184

Asset Allocation Under Distribution Uncertainty

Kacperczyk, Marcin T. - 2011

This paper shows how uncertainty about the type of return distribution (distribution uncertainty) can be incorporated in asset allocation decisions by using a novel, Bayesian semiparametric approach. To evaluate the economic importance of distribution uncertainty, the extent of changes in...

Persistent link: https://www.econbiz.de/10013126830

A g-and-h Copula Approach to Risk Measurement in Multivariate Financial Models

Huggenberger, Markus - 2010

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution. This distributional assumption is especially useful if (conditional) asymmetries as well as heavy tails have to be considered and fast random sampling is of importance. To...

Persistent link: https://www.econbiz.de/10013138164

Localizing Multivariate CAViaR

Klochkov, Yegor - 2020

Risk transmission among financial markets and their participants is time- evolving, especially for the extreme risk scenarios. Possibly sudden time variation of such risk structures ask for quantitative technology that is able to cope with such situations. Here we present a novel localized...

Persistent link: https://www.econbiz.de/10012827644

Cross hedging stock sector risk with index futures by considering the global equity systematic risk

Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...

Persistent link: https://www.econbiz.de/10011883272

Two-Stage Portfolio Optimization with Higher-Order Conditional Measures of Risk

Gulten, Sitki - 2013

The importance of portfolio optimization in finance field has been increasing significantly. Although, portfolio optimization problems over a single period or multiple periods are studied extensively, the problem with an option to rebalance over multiple periods is not considered significantly....

Persistent link: https://www.econbiz.de/10013091376