In this paper, we explore the use of Independent Component Analysis (ICA) from the field of signal processing to model and estimate the dynamics of multivariate volatilities of financial asset returns in the GARCH framework. The resulting ICA-GARCH approach is shown to provide a computationally...

This paper compares multivariate and univariate GARCH models to forecast portfolio value-at-risk (VaR). We provide a comprehensive look at the problem by considering realistic models and diversified portfolios containing a large number of assets, using both simulated and real data. Moreover, we...

Motivated by the stylized fact that intraday returns can provide additional information on the tail behaviour of daily returns, we propose a functional autoregressive value-at-risk approach which can directly incorporate such informational advantage into the daily value-at-risk forecast. Our...

The historical simulation is a standard technique in market risk estimation, in which the key choice to be made is whether to use absolute or relative shifts for the observed returns of the risk factors. To avoid this ambiguity, Fries et al. develop an approach called displaced historical...

Oil-dependent governments need a well-defined risk measure for crude oil price returns to allow them to apply proper hedges, absorb market shocks and optimize decisions to increase profitability. In that regard, by employing current techniques to forecast volatility for Azeri Light crude oil...

Several procedures to estimate daily risk measures in cryptocurrency markets have been recently proposed in the literature. Among them, procedures taking into account the presence of extreme observations, as well as procedures that include more than a single regime, have performed substantially...

This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only risk measures that satisfy a set of economic axioms...

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...

The objective this work is to calculate the VaR of portfolios via GARCH family models with normal and t-student distribution and via Monte Carlo Simulation. We used three portfolios composite with preferential stocks of five Ibovespa companies. The results show that the t distribution adjusts...

Purpose - This paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during crisis periods. Design/methodology/approach - Many VaR estimation models...