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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

Market risk : exponential weighting in the value-at-risk calculation

Broll, Udo; Förster, Andreas - 2020

When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally … weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of … exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility …

Persistent link: https://www.econbiz.de/10012285469

Market risk, value-at-risk and exponential weighting

Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91

Persistent link: https://www.econbiz.de/10013369763

Comparison of market risk models with respect to suggested changes of Basel accord

Stiborová, Eliška; Sznapková, Barbora; Tichný, Tomáš - In: Acta oeconomica : periodical of the Hungarian Academy … 64 (2014), pp. 257-274

Persistent link: https://www.econbiz.de/10010474360

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...

Persistent link: https://www.econbiz.de/10012302139