Results 81 to 90 of about 4,544 (205)
A Hypothesis Test for the Long-Term Calibration in Rating Systems with Overlapping Time Windows
RisksWe present a statistical test for the long-term calibration in rating systems that can deal with overlapping time windows as required by the guidelines of the European Banking Authority (EBA), which apply to major financial institutions in the European ...
Patrick Kurth, Max Nendel, Jan Streicher
doaj +1 more source
International VaR approach: Backtesting for different capital markets
Revista Contabilidade & Finanças, 2019 This article aims to compare distinct metrics of the value at risk (VaR), differing from prior studies with respect about compare three asset categories belonging to seven countries.
Marília Cordeiro Pinheiro +1 more
doaj +2 more sources
Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II [PDF]
We analyze around 200 different financial time series, i.e. components of Dow Jones, Nasdaq, FTSE and Nikkei with seven different VaR approaches. We differentiate our analysis according to characteristics that can be observed.
Ralf Pauly, Jens Fricke
core
Archives of Business Research, 2023 Backtesting involves applying an investment strategy or predictive model to historical data in order to assess its performance. Here, we apply general statistical principles to the question of whether, when and why backtesting is likely to be successful. Our use case is the JP Morgan Equity Income Fund (JEPI), an exchange-traded ...
openaire +1 more source
A proposed framework for backtesting loss given default models [PDF]
, 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
, 2012 This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number, frequency, magnitude, or timing of margin exceedances, which ...
Hurlin, Christophe +1 more
openaire +3 more sources
Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]
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).
Esther Ruiz, Maria Rosa Nieto
core
Efficiency of Portfolio Optimization Methods Based on Conditional Value at Risk with Machine Learning Approach in Tehran Stock Exchange [PDF]
راهبرد مدیریت مالیThis study aims to design and optimize investment portfolios in the Tehran Stock Exchange using a hybrid approach that integrates risk management, return forecasting, and resilience against economic shocks.
Seyed Jalal Tabatabaei
doaj +1 more source
Monte Carlo-Based VaR Estimation and Backtesting Under Basel III
RisksValue-at-Risk (VaR) is a key metric widely applied in market risk assessment and regulatory compliance under the Basel III framework. This study compares two Monte Carlo-based VaR models using publicly available equity data: a return-based model ...
Yueming Cheng
doaj +1 more source
Medidas alternativas de volatilidad en el mercado de valores peruano
Revista de Análisis Económico y Financiero, 2019 This document seeks to compare the main volatility calculation methodologies for the Peruvian stock market. Three volatility calculation methods are presented, the EWMA model, the GARCH model and the Stochastic Volatility (SV) model.
Rafael Nivin Valdiviezo
doaj +1 more source