Results 281 to 290 of about 521,883 (320)

Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors

Operations Research, 2011
Simulation of small probabilities has important applications in many disciplines. The probabilities considered in value-at-risk (VaR) are moderately small. However, the variance reduction techniques developed in the literature for VaR computation are based on large-deviations methods, which are good for very small probabilities.
Fuh, Chengder, Hu, Inchi, Hsu, Yahui, Wang, Renher   +3 more
openaire   +2 more sources

Value-at-Risk, Tail Value-at-Risk und Schadenverteilung in der Personenversicherung

Blätter der DGVFM, 2006
Zur Herleitung der Gesamtschadenverteilung werden die drei Vorgehensweisen Faltung, Poisson-Approximation und der zentrale Grenzwertsatz vorgestellt. Es werden die Risikomase Value-at-risk und Tail Value-at-risk fur die vorliegende Fragestellung definiert und fur die Normalverteilung allgemein angegeben.
openaire   +1 more source

Value-at-Risk Diversification of $��$-stable Risks: The Tail-Dependence Puzzle

2017
We consider the problem of risk diversification of $ $-stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of different tail dependence structures on the limits to diversification.
Cherubini, Umberto, Neri, Paolo
openaire   +1 more source

Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate

International Review of Economics and Finance, 2019
In this study, we investigate how the volatility index (VIX) and oil price influence the foreign exchange rate based on a conditional autoregressive value at risk model.
W. Peng, Shichao Hu, Wang Chen, Yu-feng Zeng, Lu Yang   +4 more
semanticscholar   +1 more source

Fat Tails, Value at Risk, and the Daily Palladium Returns

SSRN Electronic Journal, 2017
The past decade has witnessed the rapid growing of the world palladium market. Thus, it is even more important to develop effective quantitative tools for risk management of palladium assets at this moment. In this paper, we investigate five different types of widely-used statistical distributions and employ the industry standard risk measurement ...
Jianhua Ding, Turen Guo, Bin Guo
openaire   +1 more source

Estimation of tail-related value-at-risk measures: range-based extreme value approach

Quantitative Finance, 2013
This study proposes a new approach for estimating value-at-risk (VaR). This approach combines quasi-maximum-likelihood fitting of asymmetric conditional autoregressive range (ACARR) models to estimate the current volatility and classical extreme value theory (EVT) to estimate the tail of the innovation distribution of the ACARR model.
Heng-Chih Chou, David K. Wang
openaire   +1 more source

Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation

Expert Systems with Applications, 2013
This paper presents a heavy-tailed mixture model for describing time-varying conditional distributions in time series of returns on prices. Student-t component distributions are taken to capture the heavy tails typically encountered in such financial data.
Nikolaev, Nikolay Y., Boshnakov, Georgi N., Zimmer, Robert   +2 more
openaire   +1 more source

Extreme Returns, Tail Estimation, and Value-at-Risk [PDF]

, 1997
Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and Risk Metrics techniques for computing Valu-at Risk (VaR) are compared with a method which involves modelling the tails of financial returns explicitly with a tail estimator.
openaire  

Empirical study of value‐at‐risk and expected shortfall models with heavy tails

The Journal of Risk Finance, 2005
PurposeThis paper aims to test empirically the performance of different models in measuring VaR and ES in the presence of heavy tails in returns using historical data.Design/methodology/approachDaily returns of popular indices (S&P500, DAX, CAC, Nikkei, TSE, and FTSE) and currencies (US dollar vs Euro, Yen, Pound, and Canadian dollar) for over ten ...
Fotios Harmantzis, Linyan Miao, YiFan Chien   +2 more
openaire   +1 more source

Heavy-tailed value-at-risk analysis for Malaysian stock exchange

Physica A: Statistical Mechanics and its Applications, 2008
Abstract This article investigates the comparison of power-law value-at-risk (VaR) evaluation with quantile and non-linear time-varying volatility approaches. A simple Pareto distribution is proposed to account the heavy-tailed property in the empirical distribution of returns.
openaire   +2 more sources