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Forecasting Time-varying Value--at--Risk and Expected Shortfall Dependence: A Markov-switching Generalized Autoregressive Score Copula Approach

Austrian Journal of Statistics
The importance of accurately forecasting extreme financial losses and their effects on the institutions involved in a given financial market has been highlighted by recent financial catastrophes.
Katleho Makatjane
doaj   +1 more source

Filtered Extreme Value Theory for Value-At-Risk Estimation [PDF]

Extreme returns in stock returns need to be captured for a successful risk management function to estimate unexpected loss in portfolio. Traditional value-at-risk models based on parametric models are not able to capture the extremes in emerging markets ...
Cifter, Atilla, Ozun, Alper, Yilmazer, Sait   +2 more
core   +1 more source

Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures [PDF]

Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk (VaR) and Expected Shortfall (ES ...
Joanna Górka
core  

Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting

, 2015
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the recent result of
Fissler, Tobias, Gneiting, Tilmann, Ziegel, Johanna F.   +2 more
core  

On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall [PDF]

Value-at-risk (VaR) has become a standard measure used in financial risk management due to its conceptual simplicity, computational facility, and ready applicability. However, many authors claim that VaR has several conceptual problems.
Yamai, Yasuhiro, Yoshiba, Toshinao
core  

Expected shortfall estimators and their use in asset allocation [PDF]

, 2010
La perdita attesa (Expected Shortfall - ES) è una misura di rischio che prende in considerazione le perdite maggiori del Valore al Rischio (Value at Risk - VaR).
Tanase, Andrei Valentin
core  

Measuring concentration risk for regulatory purposes [PDF]

The measurement of concentration risk in credit portfolios is necessary for the determination of regulatory capital under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models that deal with
Gürtler, Marc, Hibbeln, Martin, Vöhringer, Clemens   +2 more
core  

Asymmetric Power Distribution: Theory and Applications to Risk Measurement [PDF]

Theoretical literature in finance has shown that quantifying the risk of financial time series amounts to measuring their expected shortfall, also known as tail Value at Risk.
Ivana Komunjer
core  

Seven Proofs for the Subadditivity of Expected Shortfall

Dependence Modeling, 2015
Embrechts Paul, Wang Ruodu
doaj   +1 more source

Cross-moment interaction in multivariate semi-nonparametric densities for risk forecasting

Financial Innovation
This paper introduces the moment interaction between different assets in the semi-nonparametric modeling of a multivariate distribution. We analyze bivariate portfolios where skewness and kurtosis may interact between different assets, showing that these
Inés Jiménez, Andrés Mora-Valencia, Javier Perote   +2 more
doaj   +1 more source