Results 11 to 20 of about 513 (158)
SSRN Electronic Journal, 2022 In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most important risk measure in financial regulation. One of the most challenging tasks in risk modeling practice is to backtest ES forecasts provided by financial institutions.
Qiuqi Wang, Ruodu Wang, Johanna Ziegel
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Journal of Information Systems Engineering and Business Intelligence, 2021 Background: Stock investment has been gaining momentum in the past years due to the development of technology. During the pandemic lockdown, people have invested more. One the one hand, stock investment has high potential profitability, but on the other,
Brina Miftahurrohmah +2 more
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Backtesting macroprudential stress tests [PDF]
Journal of Economic Dynamics and Control, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ramadiah, A, Fricke, D, Caccioli, F
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A review of backtesting and backtesting procedures [PDF]
The Journal of Risk, 2005 This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures. These backtesting procedures are reviewed from both a statistical and risk management perspective. The properties of unconditional coverage and independence are defined and their relation to backtesting procedures is discussed.
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The Adjustment of VaR to the Empirical Distribution of Returns [PDF]
Theoretical and Applied Economics, 2006 Basel II Recommendations concerning internal rating based models approach for financial institutions and the success of RiskMetrics made Value-at-Risk (VaR) is the most important risk measurement instrument at international level.
Radu Lupu
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The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic
Risks, 2021 Since late 2019, during one of the largest pandemics in history, COVID-19, global economic recession has continued. Therefore, investors seek an alternative investment that generates profits during this financially risky situation.
Danai Likitratcharoen +3 more
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ANALYSIS OF THE INVESTMENT ARBITRAGE STRATEGY USING FINANCIAL MULTIPLIERS
Статистика и экономика, 2016 This article describes an algorithm for stock pairs trading using financial multipliers of underlying companies. This algorithm has been tested on historical data and compared with classical Bollinger bands strategy.
Dmitry S. Pashkov
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Ekonomika, 2016 Within this paper we shall research the validation methods of the risk model and we shall provide an overview of the existing literature which deals with validation and performance assessment of the VaR (Value at Risk) model. The importance of backtesting of the risk model stems from the fact that credit institutions have been allowed by regulatory ...
Ivica Terzic, Marko Milojevic
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Financial Innovation, 2020 This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models: sGARCH, girGARCH, eGARCH, iGARCH, aGARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH along with value at risk estimation and backtesting ...
Ngozi G. Emenogu +2 more
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Correctness of backtest engines [PDF]
The Journal of Investment Strategies, 2017 In recent years several trading platforms appeared which provide a backtest engine to calculate historic performance of self designed trading strategies on underlying candle data. The construction of a correct working backtest engine is, however, a subtle task as shown by Maier-Paape and Platen (cf. arXiv:1412.5558 [q-fin.TR]).
Robert L\\\"ow +2 more
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