Results 31 to 40 of about 4,544 (205)
Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]
, 2008 We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean
Ruiz Ortega, Esther +2 more
core +1 more source
Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
wiley +1 more source
International Studies of Economics, EarlyView.ABSTRACT Financial markets can be viewed as multiscale information systems in which short‐lived disturbances, recurrent temporal patterns, liquidity conditions, and execution constraints jointly shape index price movements. This study develops an empirical‐wavelet‐and‐Fourier time‐frequency (EFT) feature block integrated with a ConvTransformer ...
Yi Chen, Ranzhe Jing, Qiang Li
wiley +1 more source
Backtesting lambda value at risk [PDF]
The European Journal of Finance, 2017 A new risk measure, the lambda value at risk (Lambda VaR), has been recently proposed from a theoretical point of view as a generalization of the value at risk (VaR). The Lambda VaR appears attractive for its potential ability to solve several problems of the VaR. In this paper we propose three nonparametric backtesting methodologies for the Lambda VaR
Corbetta, J., Peri, Ilaria
openaire +2 more sources
Mathematics, 2022 We assess Value-at-Risk (VaR) and Expected Shortfall (ES) estimates assuming different models for the standardized returns: distributions based on polynomial expansions such as Cornish-Fisher and Gram-Charlier, and well-known parametric densities such as
Brenda Castillo-Brais +2 more
doaj +1 more source
Information Systems Journal, EarlyView.ABSTRACT Artificial intelligence (AI) models have become increasingly complex, raising concerns among various stakeholders, particularly in high‐stakes organizations. The introduction of explainable AI tools to address these concerns has been received with mixed reactions.
Julie Gerlings +3 more
wiley +1 more source
RisksThis study evaluates whether a deep-learning volatility model improves market-risk measurement relative to established econometric benchmarks. Using daily returns for twelve developed and emerging equity indices from January 2000 to September 2026—with ...
Raima Amjad +2 more
doaj +1 more source
Some Results on Foreign Equity Portfolio Risk Backtesting via Lévy Ordinary Copula Model [PDF]
Journal of Competitiveness, 2012 The soundness of risk monitoring and measuring systems is a key point for the reliability of financial institutions. One of the features of a reliable risk model is that it passes a backtesting procedure – a comparison of the one step ahead risk ...
Kresta Aleš, Tichý Tomáš
doaj
An Academic Response to Basel 3.5
Risks, 2014 Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers.
Paul Embrechts +4 more
doaj +1 more source
Genetic Determination of Maternal Behaviour in Pigs
Journal of Animal Breeding and Genetics, EarlyView.ABSTRACT In sows, maternal behaviour is a commercially important trait which affects sow and piglet welfare and the quality and safety of human‐animal interactions, especially if free farrowing of sows without crates is in place. The aim of this study was to evaluate maternal behaviour and to estimate its quantitative genetic parameters in Swiss ...
Nicole Maffezzini +5 more
wiley +1 more source