Results 11 to 20 of about 7,868 (207)
Dynamic modelling of extreme daily precipitation in Germany from 1951 to 2020
Meteorologische Zeitschrift, 2022 It is important to analyse long-term changes in heavy precipitation but current risk management requires more dynamic and reliable forecasting of changes in the right tail of precipitation distributions in shorter periods of time.
Joanna Czarnowska, Bogdan Bochenek
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Development of a Backtesting Web Application for the Definition of Investment Strategies
Knowledge, 2023 Backtesting represents a set of techniques that aim to evaluate trading strategies on historical data in order to verify their effectiveness before applying them to a market in real time.
Antonio Sarasa-Cabezuelo
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Mathematics, 2020 The semi-nonparametric (SNP) modeling of the return distribution has been proved to be a flexible and accurate methodology for portfolio risk management that allows two-step estimation of the dynamic conditional correlation (DCC) matrix. For this SNP-DCC
Inés Jiménez +3 more
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Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO [PDF]
Iranian Journal of Finance, 1999 Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach
Ghodratollah Emamverdi
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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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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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What is the best risk measure in practice? A comparison of standard measures [PDF]
, 2015 Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting.
Emmer, Susanne +2 more
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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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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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