Results 81 to 90 of about 2,923 (211)

Credit portfolio risk - modelling, estimation and backtesting [PDF]

, 2008
This thesis studies an asset value-based approach for the valuation of credit portfolio risk including the estimation and the backtesting of the model’s forecasting ability.
Engel, Christoph
core  

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, Bruno Vinícius Ramos Fernandes   +1 more
doaj   +2 more sources

A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets

Energies, 2020
The transition from traditional energy to cleaner energy sources has raised concerns from companies and investors regarding, among other things, the impact on financial downside risk.
Daniel Velásquez-Gaviria, Andrés Mora-Valencia, Javier Perote   +2 more
doaj   +1 more source

Bitcoin Price Direction Forecasting and Market Variables

Journal of Futures Markets, Volume 45, Issue 10, Page 1579-1600, October 2025.
ABSTRACT This paper aims to improve Bitcoin price direction prediction using a CNN‐LSTM model that incorporates various relevant indicators, such as stock market indices, commodity indices, and interest rates. Separate models are trained for predicting price up and down direction and combined to enhance prediction accuracy.
Taegyum Kim, Hyeontae Jo, Woohyuk Choi, Bong‐Gyu Jang   +3 more
wiley   +1 more source

Country Default Probabilities: Assessing and Backtesting [PDF]

We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries.
Vogl, Konstantin, Maltritz, Dominik, Karmann, Alexander, Huschens, Stefan   +3 more
core  

"It Pays to Violate: How Effective are the Basel Accord Penalties?" [PDF]

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in
Michael McAleer, Bernardo da Veiga, Felix Chan   +2 more
core   +4 more sources

Sustainability, Accuracy, Fairness, and Explainability (SAFE) Machine Learning in Quantitative Trading

Mathematics
The paper investigates the application of advanced machine learning (ML) methodologies, with a particular emphasis on state-of-the-art deep learning models, to predict financial market dynamics and maximize profitability through algorithmic trading ...
Phan Tien Dung, Paolo Giudici
doaj   +1 more source

ANALISIS PERBANDINGAN KINERJA VALUE AT RISK BERBASIS ARCH, GARCH, DAN EGARCH SEBELUM, SAAT, DAN SETELAH KRISIS GLOBAL TAHUN 2008 PADA JKSE, KLSE, STI, PSEI, HIS, KOSPI, SSE DAN N225

Jurnal Manajemen Indonesia, 2017
Relatif tidak stabilnya kondisi ekonomi global dikarenakan krisis global tahun 2008 membuat para investor cenderung lebih berhati-hati dalam memilih sektor saham untuk dapat menghindari risiko yang terjadi.
Riko Hendrawan, Pebri Yanida
doaj   +1 more source

Specification tests in parametric value-at-risk models

, 2009
One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk and of out-of-sample backtesting for banking risk monitoring. We stress in this
Escanciano, J.C., Olmo, J.
core  

A Hypothesis Test for the Long-Term Calibration in Rating Systems with Overlapping Time Windows

Risks
We 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