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Global and Asset Class Diversified ETF Portfolio Strategy - A Convex Mean/CVaR Optimization Approach using Dynamic Copulas with Flexible Probabilities

Mantesso F, Flavio; Ahmed, Joe; Flores, Mauro - 2023

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

Persistent link: https://www.econbiz.de/10014254526

Backtesting Value-at-Risk Using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann

Hoogerheide, Lennart F. - 2011

Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...

Persistent link: https://www.econbiz.de/10013120348

Are Realized Volatility Models Good Candidates for Alternative Value at Risk Prediction Strategies?

Louzis, Dimitrios P. - 2011

In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six … realized volatility and the augmented GARCH models with the FHS or the EVT quantile estimation methods produce superior VaR …

Persistent link: https://www.econbiz.de/10013126884

The Role of High Frequency Intra-Daily Data, Daily Range and Implied Volatility in Multi-Period Value-at-Risk Forecasting

Louzis, Dimitrios P. - 2012

-of-sample Value-at-Risk (VaR) predictions. We use the recently proposed Realized GARCH model combined with the skewed student … distribution for the innovations process and a Monte Carlo simulation approach in order to produce the multi-period VaR estimates …. The VaR forecasts are evaluated in terms of statistical and regulatory accuracy as well as capital efficiency. Our …

Persistent link: https://www.econbiz.de/10013113342

Crypto Coins and Credit Risk : Modelling and Forecasting their Probability of Death

Fantazzini, Dean - 2022

This paper examined a set of over two thousand crypto-coins observed between 2015 and 2020 to estimate their credit risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic literature to professional practice, alternative forecasting...

Persistent link: https://www.econbiz.de/10013404509

Determinants of Corporate Cash Holdings : An Application of Robust Variable Selection Technique

Elyasiani, Elyas; movaghari, hadi - 2021

US firm cash holdings have become increasingly concentrated over time withering shareholder returns and heightening agency problems associated with free cash flows. Our use of a robust regression technique (LAD) and a state-of-the-art variable selection procedure (LASSO) to identify the...

Persistent link: https://www.econbiz.de/10013220069

Systemic risk in European sovereign debt markets: A CoVaR-copula approach

Reboredo, Juan C.; Ugolini, Andrea - In: Journal of International Money and Finance 51 (2015) C, pp. 214-244

We studied systemic risk in European sovereign debt markets before and after the onset of the Greek debt crisis, taking the conditional value-at-risk (CoVaR) as a systemic risk measure, characterized and computed using copulas. We found that, before the debt crisis, sovereign debt markets were...

Persistent link: https://www.econbiz.de/10011190183

Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises

Caporin, Massimiliano; Jimenez-Martin, Juan-Angel; … - Volkswirtschaftliche Fakultät, … - 2013

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

Persistent link: https://www.econbiz.de/10011111346

Modelo de dos factores con dinámica DCC en la evaluación del riesgo de crédito

Reyes, Carlos A. - Centro de Estudios Económicos, Colegio de México - 2012

Se presenta un modelo de dos factores para estimar el riesgo de crédito de un portafolio de acciones. La especificación de los rendimientos incluye un factor local (IPC) y un factor global (S&P500) cuya estructura de correlaciones sigue un proceso DCC (Dynamic Conditional Correlations). Las...

Persistent link: https://www.econbiz.de/10009650313

PROFITABILITY AND RISK ANALYSIS IN THE METALLURGICAL INDUSTRY LEADING COMPANIES IN ROMANIA

Buse, Lucian; Carstina, Silviu-Valentin - In: Annals of University of Craiova - Economic Sciences Series 3 (2012) 40, pp. 5-16

This paper aims profitability and risk metallurgical industry in our country in a time not too pleasant for both the global economy and of course for the Romanian economy, namely, the period immediately following the downgrading of the economic crisis. Metallurgy, the same trend worldwide but of...

Persistent link: https://www.econbiz.de/10010627916