Value at Risk Computation in a Non-Stationary Setting [PDF]
This chapter recalls the main tools useful to compute Value at Risk associated with a m-dimensional portfolio. Then, the limitations of the use of these tools is explained, as soon as non-stationarities are observed in time series.
Dominique Guegan
core
Value at Risk: Implementing a Risk Measurement Standard [PDF]
In the wake of recent failures of risk management, there has been a widespread call for improved quantification of the financial risks facing firms. At the forefront of this clamor has been Value at Risk.
Christopher Marshall, Michael Siegel
core
Value at Risk (VaR) and the alpha-stable distribution [PDF]
Volatility in financial markets is a matter of considerable concern to financial institutions and their supervisors. Already it is clear that this volatility has had an adverse effect on the real economy.
John C. Frain
core
Estimating Value-at-Risk for the Turkish Stock Index Futures in the Presence of Long Memory Volatility [PDF]
This paper examines the long memory properties for closing prices of the Turkish stock index futures market using the FIGARCH(1,d,1) model with three different distributions : Normal, Student-t, and skewed Student-t.
Adnan Kasman
core
Comparisons of cashflow maps for value-at-risk [PDF]
This article is devoted to the study cashflow maps used in the computation of value-at-risk (VaR). Properties and characteristics of the approaches found in the literature are presented and two new approaches are introduced.
Henrard Marc
core
Forecasting Value-at-Risk Using the Markov-Switching ARCH Model [PDF]
This paper analyzes the application of the Markov-switching ARCH model (Hamilton and Susmel, 1994) in improving value-at-risk (VaR) forecast. By considering a mixture of normal distributions with varying variances over different time and regimes, we find
Wei-Ting Tang, Yin-Feng Gau
core
How climate change shapes global systemic risk transmission: A complex network approach. [PDF]
PLoS OneZeng L, Lau WY.
europepmc +1 more source
Ordinary Differential Equation Modeling and a Novel Zubair-Fréchet Distribution for Cholera in Ghana With Control Strategies. [PDF]
Health Sci RepNyamekye KA +5 more
europepmc +1 more source
Benchmark Response Values for Error-Corrected Sequencing Mutagenicity Assessment Technologies. [PDF]
Environ Mol MutagenMulugeta S +5 more
europepmc +1 more source
Value at risk for a mixture of normal distributions: the use of quasi- Bayesian estimation techniques [PDF]
This article proposes a methodology for measuring value at risk for fat-tailed asset return distributions. Simulation-based results indicate that this approach provides better estimates of risk than one based on the assumption that asset returns are ...
Subu Venkataraman
core