Results 11 to 20 of about 50,421 (106)

ESTIMASI NILAI CONDITIONAL VALUE AT RISK (CVaR) PORTOFOLIO MENGGUNAKAN METODE EVT-GJR-VINE COPULA [PDF]

E-Jurnal Matematika, 2019
Conditional value at risk (CVaR) is widely used in risk measure that takes into account losses exceeding the value at risk level. The aim of this research is to compare the performance of the EVT-GJR-vine copula method and EVT-GARCH-vine copula method in
NI WAYAN UCHI YUSHI ARI SUDINA, KOMANG DHARMAWAN, I WAYAN SUMARJAYA   +2 more
doaj   +2 more sources

Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model [PDF]

The Scientific World Journal, 2015
This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series.
Jiechen Tang, Chao Zhou, Xinyu Yuan, Songsak Sriboonchitta   +3 more
doaj   +2 more sources

A comparative VaR analysis between low-frequency and high-frequency conditional EVT models during COVID-19 crisis

Cogent Economics & Finance
The aim of this paper is to assess whether the availability of high-frequency data enhances the accuracy of extreme market risk estimation in comparison to low-frequency data by using Value-at-risk (VaR) and Expected shortfall (ES).
Nor Azliana Aridi, Tan Siow Hooi, Chin Wen Cheong   +2 more
doaj   +3 more sources

Analyzing and forecasting electricity price using regime‐switching models: The case of New Zealand market

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, Nuttanan Wichitaksorn, Wenjun Zhang   +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

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, Christian Genest, James O. Ramsay   +2 more
wiley   +1 more source

Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO [PDF]

Iranian Journal of Finance, 1999
Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach
Ghodratollah Emamverdi
doaj   +1 more source

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

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
doaj   +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
wiley   +1 more source