Results 21 to 30 of about 513 (158)
Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall [PDF]
Journal of Banking & Finance, 2018 Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that backtesting of expected shortfall - or the trading book model from which it is calculated - can be based on a ...
Kratz, Marie +2 more
openaire +4 more sources
Barekeng, 2023 The Value at Risk (VaR) method refers to a statistical risk measurement tool used to determine the maximum loss of an investment, while the distribution that must be met is the normal distribution.
Alimatun Najiha +2 more
doaj +1 more source
, 2000 With the implementation of Value-at-Risk (VaR) models a new chapter of risk management was opened. Their ultimate goal is to quantify the uncertainty about the amount that may be lost or gained on a portfolio over a given period of time. Most generally, the uncertainty is expressed by a forecast distribution P t+1 for period t+1 associated with the ...
Härdle, Wolfgang, Stahl, Gerhard
openaire +2 more sources
Forecasting Value-at-Risk under Different Distributional Assumptions
Econometrics, 2016 Financial asset returns are known to be conditionally heteroskedastic and generally non-normally distributed, fat-tailed and often skewed. These features must be taken into account to produce accurate forecasts of Value-at-Risk (VaR).
Manuela Braione, Nicolas K. Scholtes
doaj +1 more source
Sensitivity Analysis of Two-Step Multinomial Backtests for Evaluating Value-at-Risk [PDF]
تحقیقات مالی, 2022 Objective: Nowadays, the measurement of the risk of the marketplace has a significant effect on investments; however, the inadequate evaluation of this risk will cause a financial crisis and possible bankruptcy.
Mohamad Ali Rastegar, Mehdi Hemati
doaj +1 more source
Nonparametric Estimation of Range Value at Risk
Computation, 2023 Range value at risk (RVaR) is a quantile-based risk measure with two parameters. As special examples, the value at risk (VaR) and the expected shortfall (ES), two well-known but competing regulatory risk measures, are both members of the RVaR family. The
Suparna Biswas, Rituparna Sen
doaj +1 more source
Intraday volatility and VaR: an evidence from the construction sector [PDF]
Urbanism. Arhitectura. Constructii, 2016 This article presents the outcomes from the estimation of the multiplicative component GARCH model for intraday data from the construction sector in Poland.
Krzysztof Drachal
doaj
A Simple Traffic Light Approach to Backtesting Expected Shortfall
Risks, 2018 We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in
Nick Costanzino, Michael Curran
doaj +1 more source
Regression-Based Expected Shortfall Backtesting [PDF]
Journal of Financial Econometrics, 2020 AbstractThis article introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression model for the ES stand-alone is infeasible and thus, our tests are based on a joint regression model for the Value at Risk (VaR) and the ES, which allows for different test ...
Sebastian Bayer, Timo Dimitriadis
openaire +3 more sources
Clarifying space use concepts in ecology: Range vs. occurrence distributions
Ecology, Volume 107, Issue 3, March 2026.Abstract Quantifying animal movements is necessary for answering a wide array of research questions in ecology and conservation biology. Consequently, ecologists have made considerable efforts to identify the best way to estimate an animal's home range, and many methods of estimating home ranges have arisen over the past half a century.
Jesse M. Alston +43 more
wiley +1 more source