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Measurement of extreme market risk : insights from a comprehensive literature review

Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … for VaR-ES measures have led to several advanced estimation methodologies. However, the lack of identification of optimal …

Persistent link: https://www.econbiz.de/10013183970

Market risk management in a Post-Basel II regulatory environment

Urošević, Branko; Drenovak, Mikica; Ranković, Vladimir; … - 2016

We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced...

Persistent link: https://www.econbiz.de/10011587953

Volatility and market risk of the pork market in China

Pan, Wei-Fong - In: The empirical economics letters : a monthly … 15 (2016) 7, pp. 697-704

Persistent link: https://www.econbiz.de/10011655819

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

-parametric kernel-smoothed interior and the parametric Pareto upper tail and (iii) Value-at-Risk (VaR) to quantify risk measure. The …

Persistent link: https://www.econbiz.de/10012127555

Risk management under Omega measure

Metel, Michael R.; Pirvu, Traian A.; Wong, Julian - In: Risks : open access journal 5 (2017) 2, pp. 1-14

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Persistent link: https://www.econbiz.de/10011643419

On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from the imperfect correlation between the underlying fund...

Persistent link: https://www.econbiz.de/10011890772