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Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk [PDF]
Risks, 2018 This paper presents the first methodological proposal of estimation of the Λ V a R . Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk ...
Asmerilda Hitaj +2 more
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On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning ...
Jaworski Piotr
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Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables [PDF]
Scandinavian Actuarial Journal, 2022 The Value-at-Risk (VaR) of comonotonic sums can be decomposed into marginal VaR's at the same level. This additivity property allows to derive useful decompositions for other risk measures. In particular, the Tail Value-at-Risk (TVaR) and the upper tail transform of comonotonic sums can be written as the sum of their corresponding marginal risk ...
Hanbali, Hamza +2 more
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On Partial Stochastic Comparisons Based on Tail Values at Risk [PDF]
Mathematics, 2020 The tail value at risk at level p, with p ∈ ( 0 , 1 ) , is a risk measure that captures the tail risk of losses and asset return distributions beyond the p quantile. Given two distributions, it can be used to decide which is riskier.
Alfonso J. Bello +3 more
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Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection
Mathematics, 2020 A conditional Extreme Value Theory (GARCH-EVT) approach is a two-stage hybrid method that combines a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) filter with the Extreme Value Theory (EVT).
Krzysztof Echaust, Małgorzata Just
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Jambura Journal of Mathematics, 2023 Value at Risk (VaR) and Tail Value at Risk (TVaR) are two measures that are commonly used to quantify the risk associated with a loss severity distribution.
Ruhiyat Ruhiyat +2 more
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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates [PDF]
Journal of Banking & Finance, 2015 We propose to forecast the Value-at-Risk of bivariate portfolios using copulas which are calibrated on the basis of nonparametric sample estimates of the coefficient of lower tail dependence. We compare our proposed method to a conventional copula-GARCH model where the parameter of a Clayton copula is estimated via Canonical Maximum-Likelihood.
Siburg, Karl Friedrich +2 more
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RISIKO INVESTASI SAHAM SECOND LINER DENGAN TAIL VALUE AT RISK
MIX: Jurnal Ilmiah Manajemen, 2021 This pandemic which has been going on for almost a year, is very influential in all fields. Economic growth and investment in all countries have been declined dramatically.
Di Asih I Maruddani, Tutut Dewi Astuti
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Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model [PDF]
Risks, 2013 Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of
Alexandru V. Asimit +2 more
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Mathematical and Computational ApplicationsIn this article, a new extension of the standard Laplace distribution is introduced for house price modeling. Certain important properties of the new distribution are deducted throughout this study.
Jondeep Das +5 more
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