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International Evidence on GFC-Robust Forecasts for Risk Management Under the Basel Accord

McAleer, Michael - 2011

A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the...

Persistent link: https://www.econbiz.de/10013131430

GFC-Robust Risk Management Strategies under the Basel Accord

McAleer, Michael - 2010

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...

Persistent link: https://www.econbiz.de/10013137384

Can bitcoin replace gold in an investment portfolio?

Henriques, Irene; Sadorsky, Perry A. - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-19

Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use several different multivariate GARCH models...

Persistent link: https://www.econbiz.de/10011895634

The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

McAleer, Michael - 2009

Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and...

Persistent link: https://www.econbiz.de/10014210046

Risk measurement and management in a crisis-prone world

Wong, Woon K. (contributor); … - 2008

The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk measures, namely Value-at-Risk (VaR) and...

Persistent link: https://www.econbiz.de/10003739601

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

Persistent link: https://www.econbiz.de/10009576319

Risk management with thinly traded securities : methodology and implementation

Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...

Persistent link: https://www.econbiz.de/10011303812

Thinly traded securities and risk management

Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - In: Estudios de economía 41 (2014) 1, pp. 5-48

Persistent link: https://www.econbiz.de/10010385821

Optimal dynamic portfolio with mean-CVaR criterion

Li, Jing; Xu, Mingxin - In: Risks : open access journal 1 (2013) 3, pp. 119-147

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman-Pearson type binary solution. We add a constraint on expected return to investigate...

Persistent link: https://www.econbiz.de/10010338351

Construction of uncertainty sets for portfolio selection problems

Wiechers, Christof - 2011

While modern portfolio theory grounds on the trade-off between portfolio return and portfolio variance to determine the … optimal investment decision, postmodern portfolio theory uses downside risk measures instead of the variance. Prominent …. The connections of the solution to robust optimization and decision theory are illustrated. -- Portfolio Optimization …

Persistent link: https://www.econbiz.de/10008939076