Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio … ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk … (VaR) or expected shortfall (ES) as risk measures. Often the latter is preferred as it deals better with risk in sub …

intraday random variables. We discuss sufficient conditions for a dependent bootstrap to consistently and non …) Estimating daily variance, and 2) Estimating Value-at-Risk (VaR). Of particular import: the VaR estimator is combined with the …

how many periods should be available for assessing credit risk taking account of estimation uncertainty if bootstrapping … available for similar results. -- confidence region ; credit portfolio risk ; estimation uncertainty ; bootstrapping …For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these …

clear that estimation uncertainty does indeed have an effect on interest rates. -- Credit portfolio risk ; estimation …This article seeks to make an assessment of estimation uncertainty in a multi-rating class loan portfolio …. Relationships are established between estimation uncertainty and parameters such as probability of default, intra- and inter …

-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation … return distribution has the slowest rate of convergence to normality among groups of assets. Estimation errors of the … imprecisions persist over the investment horizons, the estimation errors of the monthly return have a strong effect on the …

bootstrap to achieve valid inference in a time series setting. The test statistics and the estimators are computed using linear …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the … EV models, especially in the developed markets. -- value at risk ; expected shortfall ; hybrid historical simulation …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk. Depending on both … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …