Results 101 to 110 of about 60,954 (219)
Are realized volatility models good candidates for alternative Value at Risk prediction strategies?
In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six realized volatility models and two GARCH models augmented with realized volatility regressors.
Refenes, Apostolos P. +2 more
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Evaluating covariance matrix forecasts in a value-at-risk framework [PDF]
Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk management. A wide variety of models, ranging from matrices of simple summary measures to covariance matrices implied from option ...
Christian A. Walter, Jose A. Lopez
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Backtesting VaR Models: An Expected Shortfall Approach [PDF]
Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions and for all types of financial assets.
Timotheos Angelidis, Stavros Degiannakis
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LIMITATIONS OF VALUE-AT-RISK (VAR) FOR BUDGET ANALYSIS
Value-at-risk (VaR) is increasingly being applied to problems in agriculture, especially valuation of crop insurance and agricultural lending risk exposure.
Gustafson, Cole R.
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Value at Risk: A Comparative Analysis [PDF]
study develops a comparative analysis concerning Value at Risk measure for a portfolio consisting of three stocks traded at Bucharest Stock Exchange. The analysis set out from 1-day, 1% VaR and has been extended in two directions: the volatility models ...
Filip Iorgulescu
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Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets [PDF]
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions.
Randall Filer, Sasa Zikovic
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Risk Management of Precious Metals [PDF]
This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside
Michael McAleer +2 more
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I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk. Indeed, when a holding company has the liberty to divide its risk into as many subsidiaries as needed, and ...
Galichon, Alfred
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Filtered Extreme Value Theory for Value-At-Risk Estimation
Extreme returns in stock returns need to be captured for a successful risk management function to estimate unexpected loss in portfolio. Traditional value-at-risk models based on parametric models are not able to capture the extremes in emerging markets ...
Yilmazer, Sait +2 more
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Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure [PDF]
The paper develops a Value-at-Risk methodology to assess Italian banksÂ’ interest rate risk exposure. By using 5 years of daily data, the exposure is evaluated through a Principal Component VaR based on Monte Carlo simulation according to two different ...
Simonetta Iannotti, Roberta Fiori
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