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Forecasting Value-at-Risk Under Temporal and Portfolio Aggregation

Kole, Erik - 2017

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...

Persistent link: https://www.econbiz.de/10012970357

Optimal Multi-Step VAR Forecasting Averaging

Liao, Jen-Che - 2018

This paper proposes frequentist multiple-equation least squares averaging approaches for multi-step forecasting with vector autoregressive (VAR) models. The proposed VAR forecasting averaging methods are based on the multivariate Mallows model averaging (MMMA) and multivariate leave-h-out...

Persistent link: https://www.econbiz.de/10012933481

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios : A General Dynamic Factor Model Approach

Hallin, Marc; Trucíos, Carlos - 2021

Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and Expected Shortfall (ES) play an important role in risk management, portfolio allocation, capital level requirements, trading systems, and hedging strategies. Unfortunately, due to the curse of...

Persistent link: https://www.econbiz.de/10013242339

Change-point detection for expected shortfall in time series

Sun, Lingyu; Li, Dong - In: Journal of management science and engineering 6 (2021) 3, pp. 324-335

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the...

Persistent link: https://www.econbiz.de/10013206368

Bayesian risk forecasting for long horizons

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019

Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not …

Persistent link: https://www.econbiz.de/10011979983

A severity function approach to scenario selection

Mokinski, Frieder - 2017

The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...

Persistent link: https://www.econbiz.de/10011755965

From Fixed-event to Fixed-horizon Density Forecasts : Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts

Ganics, Gergely - 2020

Surveys of professional forecasters produce precise and timely point forecasts for key macroeconomic variables. However, the accompanying density forecasts are not as widely utilized, and there is no consensus about their quality. This is partly because such surveys are often conducted for...

Persistent link: https://www.econbiz.de/10012845698

Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes

Fülle, Markus J.; Herwartz, Helmut - 2022

pandemic. We find that the MS-C-MGARCH model outperforms benchmark volatility models (MGARCH, C-MGARCH) in predicting expected …

Persistent link: https://www.econbiz.de/10013405757

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10003636008

Fat-tails in VAR models

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014

volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

Persistent link: https://www.econbiz.de/10010339759