Results 61 to 70 of about 6,316,556 (202)
How Much Risk in U.S. Government Bond Markets Is Transmitted to Their Canadian Counterparts?
RisksWe address this question by jointly modeling the distributional dynamics of the U.S. and Canadian term premia. Our approach combines a flexible marginal specification—the Skewed Generalized Error Distribution—with a flexible bivariate copula (BB7) to ...
Bruno Feunou +2 more
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One-year reserve risk including a tail factor: closed formula and bootstrap approaches [PDF]
In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development Result (CDR) whose variance is identical to the closed-
Yoboua Angoua +3 more
core
EnergiesWith the rapid expansion of renewable energy and the formal operation of provincial electricity spot markets in China, smart aggregators that coordinate flexible loads, storage resources, demand-response portfolios, and distributed energy resources ...
Shuaikang Wang +4 more
doaj +1 more source
International Journal for Re-Views in Empirical Economics, 2019 This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in ...
Jiahua Xu
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Tail Conditional Expectation for vector-valued Risks [PDF]
In his paper we introduce a quantile-based risk measure for multivariate financial positions "the vector-valued Tail-conditional-expectation (TCE)". We adopt the framework proposed by Jouini, Meddeb, and Touzi [9] to deal with multi-assets portfolios ...
Imen Bentahar
core
CivilEngThe aging of social infrastructure, intensively constructed during periods of rapid economic growth, is a pressing challenge facing modern society. Conventional infrastructure asset management has disproportionately emphasized a “managerial financial ...
Yasuko Kawahata +3 more
doaj +1 more source
Tail approximation for credit risk portfolios with heavy-tailed risk factors [PDF]
The Journal of Risk, 2006 We consider a portfolio credit risk model in the spirit of CreditMetrics [15]. The multivariate normally distributed underlying risk factors in that model are replaced by more general multivariate elliptical factors with heavy-tailed marginals, introducing tail-dependence. We consider a full-scale version of the model, i.e.
openaire +1 more source
Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress [PDF]
In this paper, we compare value-at-risk (VaR) and expected shortfall under market stress. Assuming that the multivariate extreme value distribution represents asset returns under market stress, we simulate asset returns with this distribution. With these
Yamai, Yasuhiro, Yoshiba, Toshinao
core
EconomiesWe compare three families of Value-at-Risk and expected shortfall estimators—rolling historical simulation, GARCH(1,1) filtered historical simulation (FHS), and a walk-forward multi-quantile LSTM—on identical, strictly out-of-sample footing across thirty-
Raima Amjad, Zeeshan Ahmed
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Measuring macroeconomic tail risk
Journal of Financial EconomicsThis paper estimates consumption and GDP tail risk dynamics over the long run (1876– 020). Our predictive approach circumvents the scarcity of large macroeconomic crises by exploiting a rich information set covering 42 countries. This flexible approach does not require asset price information and can thus serve as a benchmark to evaluate the empirical ...
Roberto Marfè, Julien Pénasse
openaire +4 more sources