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Ranking of VaR and ES Models : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2012
based on volatility updating and nonparametric mirrored historical simulation. ES backtesting results are similar to VaR …
Persistent link: https://www.econbiz.de/10009665398
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
EV models, especially in the developed markets. -- value at risk ; expected shortfall ; hybrid historical simulation …
Persistent link: https://www.econbiz.de/10003891679
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Ranking of VaR and ES Models : Performance in Developed and Emerging Markets
Zikovic, Sasa; Filer, Randall K. - 2021
based on volatility updating and nonparametric mirrored historical simulation. ES back testing results are similar to VaR …
Persistent link: https://www.econbiz.de/10013315846
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Ranking of VaR and ES Models: Performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall - 2012
based on volatility updating and nonparametric mirrored historical simulation. ES backtesting results are similar to VaR …
Persistent link: https://www.econbiz.de/10010289638
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Global Financial Crisis and VaR Performance in Emerging Markets : A Case of EU Candidate States - Turkey and Croatia
Zikovic, Sasa - 2013
simulation (HHS) models to generate 95, 99 and 99.5% confidence level estimates. Results indicate that during the crisis period …
Persistent link: https://www.econbiz.de/10013081700
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Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
and Quantitative-Financial Engineers-Developers Team.Our JP Morgan World Headquarters presentations titled Global Finance …
Persistent link: https://www.econbiz.de/10013403261
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan … risks for all assets.Modeled historical simulation, parametric & modified VaR, expected shortfall.Modeled and analyzed multi …
Persistent link: https://www.econbiz.de/10013405318
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10010265962
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Predicting Asset Returns in Developed and Emerging Markets
Sharma, Ankit - 2012
This paper investigates the predictability of asset prices among developed and emerging markets. Weekly and monthly stock market indices from developed and emerging market economies are analysed to check the validity of weak-form of Efficient Market Hypothesis (EMH) using various empirical...
Persistent link: https://www.econbiz.de/10013101494
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The new hybrid value at risk approach based on the extreme value theory
Radivojevic, Nicola; Cvjetkovic, Milena; Stepanov, Saša - In: Estudios de economía 43 (2016) 1, pp. 29-52
In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable for measuring market risk in the emerging markets. It is...
Persistent link: https://www.econbiz.de/10011503775