Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II [PDF]
We analyze around 200 different financial time series, i.e. components of Dow Jones, Nasdaq, FTSE and Nikkei with seven different VaR approaches. We differentiate our analysis according to characteristics that can be observed.
Ralf Pauly, Jens Fricke
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Archives of Business Research, 2023 Backtesting involves applying an investment strategy or predictive model to historical data in order to assess its performance. Here, we apply general statistical principles to the question of whether, when and why backtesting is likely to be successful. Our use case is the JP Morgan Equity Income Fund (JEPI), an exchange-traded fund whose investment
openaire +1 more source
Backtesting Analysis. How to Assess the Quality of PD Models in a Retail Banking
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 2019 The paper refers to the probability of default model validation procedure in retail banking. The author presents the idea of backtesting analysis focusing on sensitivity analysis of capital requirements under stress scenarios.
Paweł Siarka
doaj
Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
, 2016 In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the recent result of
Fissler, Tobias +2 more
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Monte Carlo-Based VaR Estimation and Backtesting Under Basel III
RisksValue-at-Risk (VaR) is a key metric widely applied in market risk assessment and regulatory compliance under the Basel III framework. This study compares two Monte Carlo-based VaR models using publicly available equity data: a return-based model ...
Yueming Cheng
doaj +1 more source
Medidas alternativas de volatilidad en el mercado de valores peruano
Revista de Análisis Económico y Financiero, 2019 This document seeks to compare the main volatility calculation methodologies for the Peruvian stock market. Three volatility calculation methods are presented, the EWMA model, the GARCH model and the Stochastic Volatility (SV) model.
Rafael Nivin Valdiviezo
doaj +1 more source
Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]
We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES).
Esther Ruiz, Maria Rosa Nieto
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Optimized Indicators of Technical Analysis on the New York Stock Exchange
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2016 The article is focused on the use of technical analysis and it’s indicators. The main aim is the evaluation of technical analysis for selected index instruments which are traded on NYSE.
Martin Širůček, Karel Šíma
doaj +1 more source
Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures [PDF]
Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk (VaR) and Expected Shortfall (ES ...
Joanna Górka
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La simulazione storica per il calcolo del VaR di un prodotto strutturato. Tecniche di backtesting [PDF]
, 2016 Nel lavoro è proposto uno studio empirico per il calcolo del Value-at-Risk (VaR) di un prodotto strutturato basato sul metodo della simulazione storica full valuation. Alcune associazioni nazionale per i contratti strutturati hanno sviluppato da diversi
ROGO, Barbara
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