Results 41 to 50 of about 501 (170)
Quantifying Diversification Effects of A Portfolio Using the Generalised Extreme Value Distribution- Archimedean Gumbel Copula Model [PDF]
, 2023 This paper uses the Generalized Extreme Value Distribution - Archimedean Gumbel copula modelling approach to quantify diversification effects in a bivariate portfolio of financial asset returns.
Chikobvu, Delson, Jakata, Owen
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Portfolio Optimization via Pair Copula-GARCH-EVT-CVaR Model
Systems Engineering Procedia, 2011 AbstractThis paper uses CVaR as the risk measure and applies EVT to model the tails of the return series so as to estimate risk of assets more accurately. This paper also applies pair Copula to capture the inter-dependence structure between assets and constructs pair Copula-GARCH-EVT model; then, we combine it with Monte Carlo Simulation and Mean-CVaR ...
Deng, Ling, Ma, Chaoqun, Yang, Wenyu
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Does Risk Aversion Matter for Foreign Asset Holdings of Pension Funds – The Case of Poland [PDF]
, 2014 In this study we explore the issue of foreign assets in mandatory pension funds portfolios. First we provide an overview of the regulatory policies regarding international assets and indicate the externalitieswhich may account for the observed ...
Kurach, Radosław, Papla, Daniel
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Multi-Objective Stochastic Optimization Programs for a non-Life Insurance Company under Solvency Constraints [PDF]
, 2015 In the paper, we introduce a multi-objective scenario-based optimization approach for chance-constrained portfolio selection problems. More specifically, a modified version of the normal constraint method is implemented with a global solver in order to ...
Daris, Roberto, Kaucic, Massimiliano
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Portfolio optimization based on GARCH-EVT-Copula forecasting models
International Journal of Forecasting, 2018 Abstract This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model ...
Maziar Sahamkhadam +2 more
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Model risk of risk models [PDF]
, 2016 This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with market uncertainty. During calm periods,
Danielsson, Jon +3 more
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Calculation of Value at Risk of Currency Portfolio for a Typical Bank by GARCH-EVT-Copula Method [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2016 The purpose of this study is to calculate Value at Risk (VaR) of a selection of bank's currency portfolio, using GARCH-EVT-Copula (GEC) approach. Today's main challenge of a banking system is to calculate and quantify the risks that the system is ...
Hossein Raghfar, Narges Ajorlo
doaj +1 more source
Energies, 2021 This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecasts ...
Krzysztof Echaust, Małgorzata Just
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Data-Driven Risk Measurement by SV-GARCH-EVT Model
, 2022 This paper aims to more effectively manage and mitigate stock market risks by accurately characterizing financial market returns and volatility. We enhance the Stochastic Volatility (SV) model by incorporating fat-tailed distributions and leverage effects, estimating model parameters using Markov Chain Monte Carlo (MCMC) methods. By integrating extreme
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Estimasi Nilai VaR Dinamis Indeks Saham Menggunakan Peak-Over Threshold dan Block Maxima
Jurnal Matematika, 2012 Kejadian ekstrim pada bidang finansial pada periode 2008/2009 telah menyadarkan para praktisi maupun peneliti di bidang finansial untuk mengevaluasi kembali teknik-teknik pemodelan risiko finansial.
Komang Dharmawan
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