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A severity function approach to scenario selection
Mokinski, Frieder - 2017
The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...
Persistent link: https://www.econbiz.de/10011757675
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Quantile regression in risk calibration
Chao, Shih-Kang; Härdle, Wolfgang; Wang, Weining - 2012
stress affects other factors. The CoVaR (Conditional VaR) framework has been developed for this purpose. The basic technical …
Persistent link: https://www.econbiz.de/10009425497
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Systemic risk in Danish banks: Implementing SRISK in a Danish context
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2016
underkapitaliseret. Vi finder, at SRISK var en god fremadskuende indikator for hvilke banker som behøvede statslige kapitalindskud under …
Persistent link: https://www.econbiz.de/10011439967
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Which are the SIFIs? A Component Expected Shortfall (CES) Approach to Systemic Risk
Dumitrescu, Elena - 2012
In this paper we propose a component approach to systemic risk which makes it possible to decompose the risk of the aggregate financial system (measured by Expected Shortfall, ES) while accounting for the level of firm's characteristics. Developed by analogy with the Component Value-at-Risk...
Persistent link: https://www.econbiz.de/10013099053
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A Severity Function Approach to Scenario Selection
Mokinski, Frieder - 2017
The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...
Persistent link: https://www.econbiz.de/10012941752
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Predicting Risk with Risk Measures : An Empirical Study
Bräutigam, Marcel - 2018
In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify the pro-cyclicality of the current way financial...
Persistent link: https://www.econbiz.de/10012919289
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Lambda Value at Risk and Regulatory Capital : A Dynamic Approach to Tail Risk
Hitaj, Asmerilda - 2018
This paper presents the first methodological proposal of estimation of the Lambda VaR. Our approach is dynamic and … measures. We also propose a simple backtesting methodology by extending the VaR hypothesis-testing framework. Hence, we test … our Lambda VaR proposals under extreme downward scenarios of the financial crisis and different assumptions on the profit …
Persistent link: https://www.econbiz.de/10012934477
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An Impact Measure for News : Its Use in (Daily) Trading Strategies
Yu, Xiang; Mitra, Gautam; Arbex-Valle, Cristiano; … - 2021
We investigate how “news sentiment” in general and the “impact of news” in particular can be utilized in designing equity trading strategies. News is an event that moves the market in a small way or a big way. We have introduced a derived measure of news impact score which takes into...
Persistent link: https://www.econbiz.de/10013219771
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Predicting Macroeconomic and Macrofinancial Stress in Low-Income Countries
Weisfeld, Hans; de Carvalho Filho, Irineu; Comelli, Fabio; … - 2021
In recent years, Fund staff has prepared cross-country analyses of macroeconomic vulnerabilities in low-income countries, focusing on the risk of sharp declines in economic growth and of debt distress. We discuss routes to broadening this focus by adding several macroeconomic and macrofinancial...
Persistent link: https://www.econbiz.de/10013250073
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Lambda value at risk and regulatory capital : a dynamic approach to tail risk
Hitaj, Asmerilda; Mateus, Cesario; Peri, Ilaria - In: Risks : open access journal 6 (2018) 1, pp. 1-18
This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated … measures. We also propose a simple backtesting methodology by extending the VaR hypothesis-testing framework. Hence, we test … our VaR proposals under extreme downward scenarios of the financial crisis and different assumptions on the profit and …
Persistent link: https://www.econbiz.de/10011811561