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Evaluating Value-at-Risk models with desk-level data
Berkowitz, Jeremy; Christoffersen, Peter; Pelletier, Denis - Department of Economics, Poole College of Management - 2005
We present new evidence on disaggregated profit and loss and VaR forecasts obtained from a large international commercial bank. Our dataset includes daily P/L generated by four separate business lines within the bank. All four business lines are involved in securities trading and each is...
Persistent link: https://www.econbiz.de/10005802112
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Evaluating Value-at-Risk Models with Desk-Level Data
Christoffersen, Peter; Berkowitz, Jeremy; Pelletier, Denis - School of Economics and Management, University of Aarhus - 2008
We present new evidence on disaggregated profit and loss (P/L) and Value-at-Risk (VaR) forecasts obtained from a large international commercial bank. Our dataset includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in...
Persistent link: https://www.econbiz.de/10005037434
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The geometric-VaR backtesting method
Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
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Tail risk of electricity futures
Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012518716
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Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo - 2020
volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … importance of taking asymmetric effects (leverage effects) into account in volatility forecasts when it comes to risk management …
Persistent link: https://www.econbiz.de/10012292347
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Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.; McNeil, Alexander J. - 2018
We study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level. The choice of the kernel function makes explicit the user's priorities for model performance. The class...
Persistent link: https://www.econbiz.de/10011927115
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Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.; McNeil, Alexander J. - In: Journal of banking & finance 116 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
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Performance of Value at Risk models in the midst of the global financial crisis in selected CEE emerging capital markets
Miletic, Mirjana; Miletic, Sinisa - In: Economic research 28 (2015) 1, pp. 132-166
Persistent link: https://www.econbiz.de/10012220692
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Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi; Dionne, Georges - In: Journal of risk : JOR 25 (2023) 6, pp. 73-103
Persistent link: https://www.econbiz.de/10014487244
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Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type Value-at-Risk model performance in Thailand's transport...
Danai Likitratcharoen; Lucksuda Suwannamalik - In: Risks : open access journal 12 (2024) 3, pp. 1-19
, particularly during crises and heightened uncertainty phases. Phenomena like volatility clustering impinge on the accuracy of these … models. To mitigate such constraints, conditional volatility models are integrated to augment the robustness and adaptability … amidst the Thai stock market's volatility during the COVID-19 pandemic. The dataset encompasses daily price fluctuations in …
Persistent link: https://www.econbiz.de/10014497424