Results 101 to 110 of about 2,923 (211)
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
doaj
Backtesting Expectiles with Moment Conditions [PDF]
, 2023 Under the current regulations, banks and insurance companies have the option to use their own internal models to monitor their risk. To this end, Value-at-Risk (VaR) and the Expected Shortfall (ES) are typically used as the risk measures to compute their
de Ita Solis, Jesús Armando
core
ESTIMASI NILAI CONDITIONAL VALUE AT RISK (CVaR) PORTOFOLIO MENGGUNAKAN METODE EVT-GJR-VINE COPULA
E-Jurnal Matematika, 2019 Conditional value at risk (CVaR) is widely used in risk measure that takes into account losses exceeding the value at risk level. The aim of this research is to compare the performance of the EVT-GJR-vine copula method and EVT-GARCH-vine copula method in
NI WAYAN UCHI YUSHI ARI SUDINA +2 more
doaj +1 more source
A proposed framework for backtesting loss given default models
, 2014 The Basel Accords require financial institutions to regularly validate their loss given default (LGD) models. This is crucial so banks are not misestimating the minimum required capital to protect them against the risks they are facing through their ...
Debruyne, Michiel +9 more
core +1 more source
An efficient implementation of the backtesting of trading strategies
, 2005 Some trading strategies are becoming more and more complicated and utilize a large amount of data, which makes the backtesting of these strategies very time consuming.
Ni, J +3 more
core +1 more source
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
doaj +1 more source
Backtesting for Risk-Based Regulatory Capital [PDF]
, 2002 In this paper we present a framework for backtesting all currently popular risk measurement methods (including value-at-risk and expected shortfall) using the functional delta method.Estimation risk can be taken explicitly into account.Based on a ...
Melenberg, B.; id_orcid, Kerkhof, F.L.J.
core +1 more source
Backtesting d'algorismes d'inversió en el mercat crypto
, 2022 [CA] A l'hora de desenvolupar una estratègia de trading, és essencial provar com hauria funcionat en el passat. Això permet estimar el seu potencial rendiment i trobar els millors paràmetres.
Arnal García, David
core
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
doaj +1 more source
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
core +1 more source