A K-Means Classification and Entropy Pooling Portfolio Strategy for Small and Large Capitalization Cryptocurrencies [PDF]
Entropy, 2023 In this study, we propose three portfolio strategies: allocation based on the normality assumption, the skewed-Student t distribution, and the entropy pooling (EP) method for 14 small- and large-capitalization (cap) cryptocurrencies.
Jules Clement Mba +1 more
doaj +2 more sources
Regression Based Expected Shortfall Backtesting [PDF]
Journal of Financial Econometrics, 2019 This paper introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression framework for the ES stand-alone is infeasible, and thus, our tests are based on a joint
Bayer, Sebastian, Dimitriadis, Timo
core +3 more sources
Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall [PDF]
Journal of Banking and Finance, 2018 Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that backtesting of expected shortfall - or the trading book model from which it is calculated - can be based on a ...
Marie Kratz, Alexander J Mcneil
exaly +5 more sources
Backtesting Expected Shortfall: a simple recipe? [PDF]
Journal of Risk, 2018 We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for which risk ...
Moldenhauer, Felix, Pitera, Marcin
core +3 more sources
A Simple Traffic Light Approach to Backtesting Expected Shortfall
Risks, 2018 We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in
Nick Costanzino, Michael Curran
exaly +3 more sources
VIX constant maturity futures trading strategy: A walk-forward machine learning study. [PDF]
PLoS ONEThis study employs seven advanced machine learning approaches to conduct numerical predictions of the next-day returns of VIX constant-maturity futures (VIX CMFs) using the term structure information derived from VIX CMFs.
Sangyuan Wang +4 more
doaj +2 more sources
A comparison of market risk measures from a twofold perspective: accurate and loss function [PDF]
ACRN Journal of Finance and Risk Perspectives, 2023 Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR ...
Sonia Benito Muela +2 more
doaj +1 more source
Backtestability and the ridge backtest
Frontiers of Mathematical Finance, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Acerbi, Carlo, Székely, Balázs
openaire +2 more sources
Value at looking back: Towards an empirical validation of the role of reflexivity in econo-historic backtesting: Economic market prediction corrections correlate with future market performance [PDF]
ACRN Journal of Finance and Risk Perspectives, 2019 The following article innovatively paints a novel picture of the mass psychological underpinnings of business cycles based on information flows in order to recommend how certain communication strategies could counterweight and alleviate information ...
Julia M. Puaschunder
doaj +1 more source
COMPARISON BETWEEN VALUE AT RISK AND ADJUSTED EXPECTED SHORTFALL: A NUMERICAL ANALYSIS
Barekeng, 2023 Loss risk is one of the variable that always appears in every kind of investment. On stock asset investments, the characteristics of the risk of loss is uncertain, this means that losses can occur at any time with a value that cannot be determined ...
Trimono Trimono, Di Asih Maruddani
doaj +1 more source