Results 91 to 100 of about 4,544 (205)
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
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Forecasting Value-at-Risk Using Conditional Volatility Models: Evidence from Tehran Stock Exchange [PDF]
تحقیقات مالی, 2008 In this paper, we investigate the performance of parametric ARCH class models to forecast out-of-sample VaR for two portfolios of Tehran Stock Exchange (TSE) companies (Market portfolio and a portfolio of 50 liquid companies), using a number of ...
شاپور محمدی +2 more
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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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Backtesting expected shortfall [PDF]
O Expected Shortfall (ES) tem vindo a ganhar relevância como medida de risco de mercado, nomeadamente após a sua adoção pelo enquadramento regulatório de Basileia, em substituição do Value at Risk (VaR). Apesar de apresentar vantagens claras na captura
Tarelho, André Lourenço
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Multivariate Spectral Backtests of Forecast Distributions under Unknown Dependencies
RisksUnder the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level.
Janine Balter, Alexander J. McNeil
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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
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The dynamic quantile approach for VaR estimation: empirical evidence from Indonesia banking industry
Cogent Business & ManagementThis study estimates value-at-risk (VaR) to measure foreign exchange risk in Indonesia’s banking industry using quantile regression (QR) approach. Four large banks whose capital and assets were the biggest were observed, and their selection was based on ...
Siti Saadah +3 more
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This 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.
Keran Li (9099584) +4 more
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It Pays to Violate: How Effective are the Basel Accord Penalties? [PDF]
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in
Michael McAleer +2 more
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