Results 11 to 20 of about 501 (170)
ESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA
E-Jurnal Matematika, 2022 Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine ...
DERY MAULANA +2 more
doaj +1 more source
Comparison of EVT Approach with Other Methods of Measuring Market Risk (VAR) in the Context of the Backtesting and Kupiec Test: Implications for Market Risk Management of Financial Institutions [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2017 In recent years, by using extreme value theory (EVT), researchers have estimated the market risk for rare events (crises) more accurately. This paper examines the different methods of measuring market risk at different levels of reliability. According to
Reza Taleblou, mohammad mahdi davoudi
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Journal of Forecasting, Volume 42, Issue 8, Page 2011-2026, December 2023., 2023 Abstract This paper aims to study the forecasting capabilities of several models under the Markov regime‐switching (MRS) and the extreme value theory (EVT) frameworks applied to daily electricity prices in the New Zealand electricity market. The MRS models in this study include up to five regimes, with time‐varying transition probabilities and ...
Gaurav Kapoor +2 more
wiley +1 more source
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market
Journal of Futures Markets, Volume 43, Issue 10, Page 1332-1372, October 2023., 2023 Abstract This paper develops a generic adjustment framework to improve in the market risk forecasts of diverse risk forecasting models, which indicates the degree to which risk is under‐ and overestimated. In the context of the energy commodity market, a market in which tail risk management is of crucial importance, the empirical analysis shows that ...
Ning Zhang, Yujing Gong, Xiaohan Xue
wiley +1 more source
Does green improve portfolio optimisation? [PDF]
, 2023 Our study uses the GARCH-EVT-copula model to develop out-of-sample forecasts for diverse asset classes, including a green asset. To construct optimal portfolios, we apply four different portfolio allocation techniques: equal weighting, minimum variance ...
Akhtaruzzaman, Md +3 more
core +2 more sources
Sparse estimation within Pearson's system, with an application to financial market risk
Canadian Journal of Statistics, Volume 51, Issue 3, Page 800-823, September 2023., 2023 Abstract Pearson's system is a rich class of models that includes many classical univariate distributions. It comprises all continuous densities whose logarithmic derivative can be expressed as a ratio of quadratic polynomials governed by a vector β$$ \beta $$ of coefficients. The estimation of a Pearson density is challenging, as small variations in β$
Michelle Carey +2 more
wiley +1 more source
Application Extreme Value Theory and long-Memory to Stock Market in Iran (In Framework Model-GARCH) [PDF]
Journal of Asset Management and Financing, 2018 During last decades, financial markets have witnessed large losses due to their exposure to unexpected market crash. Resulting in these financial disasters, financial institutions, regulators and academics have developed intensive research to provide ...
Hassan Karnameh haghighi, Ali Rostami
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Direct versus iterated multiperiod Value‐at‐Risk forecasts
Journal of Economic Surveys, Volume 37, Issue 3, Page 915-949, July 2023., 2023 Abstract Since the late nineties, the Basel Accords require financial institutions to measure their financial risk by reporting daily predictions of Value at Risk (VaR) based on 10‐day returns. However, a vast part of the related literature deals with VaR predictions based on one‐period returns.
Esther Ruiz, María Rosa Nieto
wiley +1 more source
Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market‐Based Stress Tests
Journal of Money, Credit and Banking, Volume 55, Issue 2-3, Page 465-501, March-April 2023., 2023 Abstract This paper proposes a novel methodology to calibrate the magnitude of the countercyclical capital buffer (CCyB) using market‐based stress tests. The macroprudential authority in our paper aims to contain the possibility of a breach of a minimum capital ratio in the event of a severe system‐wide shock within a certain permissible failure ...
MAARTEN R.C. VAN OORDT
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A conditional extreme value theory approach in value-at-risk forecasting: Evidence from Southeastern Europe and USA market [PDF]
Industrija, 2015 As a consequence of the recent financial crisis, the adequacy of different Value-at-Risk (VaR) methodologies was heavily questioned. Current practice in VaR assessment relies on modeling the whole distribution of returns. As an alternative, in this paper
Totić Selena
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