Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range [PDF]
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis.
Chen, C.W.S. +3 more
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Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory [PDF]
This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The approach is flexible as it requires no assumptions on the form of return distributions.
Julia Schaumburg
core
Backtesting Parametric Value-at-Risk with Estimation Risk [PDF]
One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk.
Jose Olmo, Juan Carlos Escanciano
core
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures [PDF]
It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more ...
Chia-Lin Chang +4 more
core
VaR Limits for Pension Funds: An Evaluation [PDF]
This paper evaluates the effects of imposing Value-at-Risk (VaR) limits and quantitative restrictions on portfolio choices in the context of a risk-based supervision framework for defined contribution pension funds.
Berstein, Solange, Chumacero, Rómulo
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Backtesting VaR Accuracy: A New Simple Test [PDF]
This paper proposes a new test of Value at Risk (VaR) validation. Our test exploits the idea that the sequence of VaR violations (Hit function) - taking value 1-α, if there is a violation, and -α otherwise - for a nominal coverage rate α verifies the ...
Christophe Hurlin, Sessi Tokpavi
core
How Risky Is the Value at Risk? [PDF]
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we present empirical evidence from assessing the out-of-sample performance and robustness of VaR ...
Roxana Chiriac, Winfried Pohlmeier
core
Implied Correlation from VaR [PDF]
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation.
Francois Longin, John Cotter
core
Dynamic VaR models and the Peaks over Threshold method for market risk measurement: an empirical investigation during a financial crisis [PDF]
This paper presents a backtesting exercise involving several VaR models for measuring market risk in a dynamic context. The focus is on the comparison of standard dynamic VaR models, ad hoc fat-tailed models and the dynamic Peaks over Threshold (POT ...
Fabrizio Miorelli, Marco Bee
core
Research on aging-friendly design risk assessment model based on non-parametric estimation. [PDF]
Sci RepLi H, Mao M, Yin YQ.
europepmc +1 more source