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Value at Risk Calculations, Extreme Events, and Tail Estimation
The Journal of Derivatives, 2000Value at risk has become a standard approach for estimating and expressing a firm9s exposure to market risk. Unlike the traditional risk measure, standard deviation, VaR focuses only on the tail of the distribution of outcomes - the extreme events. This makes a lot of sense in theory, but a major problem arises in practice, because empirical returns ...
Salih N. Neftçi
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The effect of female CEO and CFO on tail risk and firm value
Finance Research Letters, 2022Li-Hsun Wang, Hung-Gay Fung
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Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
Mathematical Finance, 2023AbstractThis paper presents a new method for discussing the asymptotic subadditivity/superadditivity of Value‐at‐Risk (VaR) for multiple risks. We consider the asymptotic subadditivity and superadditivity properties of VaR for multiple risks whose copula admits a stable tail dependence function (STDF).
Wenhao Zhu +4 more
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Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors
Mathematical Finance, 2002This paper develops efficient methods for computing portfolio value‐at‐risk (VAR) when the underlying risk factors have a heavy‐tailed distribution. In modeling heavy tails, we focus on multivariate t distributions and some extensions thereof. We develop two methods for VAR calculation that exploit a quadratic approximation to the portfolio loss, such ...
Glasserman, Paul +2 more
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A new coherent multivariate average-value-at-risk
Optimization, 2021A new operator for handling the joint risk of different sources has been presented and its various properties are investigated. The problem of risk evaluation of multivariate risk sources has been studied, and a multivariate risk measure, so-called ...
Kerem Uğurlu
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Value-at-risk with heavy-tailed risk factors
Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520), 2002This paper develops methods for computationally efficient calculation of value-at-risk (VAR) in the presence of heavy-tailed risk factors. The methods model market risk factors through a multivariate t-distribution, which has both heavy tails and empirical support.
P. Glasserman +2 more
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On the Subadditivity of Tail Value at Risk: An Investigation with Copulas
Variance, 2008In this paper, we compare the point of view of the regulator and the investors about the required solvency level of an insurance company. We assume that the required solvency level is determined using the Tail Value at Risk and analyze the ...
S. Desmedt, Jean-Franois Walhin
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Value at Risk Estimation for Heavy Tailed Distributions [PDF]
The International Journal of Business and Finance Research, 2014 The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory. For the proposed measure, the risk associated to a given portfolio is less than the sum of the stand-alone risks of its components. This measure which is value at risk (VaR), is the limiting result of an infinity shift of location and
Imed Gammoudi +2 more
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Efficient Computation of Value at Risk with Heavy-Tailed Risk Factors
SSRN Electronic Journal, 2009The probabilities considered in value-at-risk (VaR) are typically of moderate deviations. However, the variance reduction techniques developed in the literature for VaR computation are based on large deviations methods. Modeling heavy-tailed risk factors using multivariate $t$ distributions, we develop a new moderate-deviations method for VaR ...
Cheng-der Fuh +3 more
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Forecasting value at risk and expected shortfall with mixed data sampling
International Journal of Forecasting, 2020I propose applying the Mixed Data Sampling (MIDAS) framework to forecast Value at Risk (VaR) and Expected shortfall (ES). The new methods exploit the serial dependence on short-horizon returns to directly forecast the tail dynamics of the desired horizon.
T. Le
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