Search Results - subject:"Backtesting"

Does prudential regulation contribute to effective measurement and management of interest rate risk? : evidence from Italian banks

Cerrone, Rosaria; Cocozza, Rosa; Curcio, Domenico; … - In: Journal of financial stability 30 (2017), pp. 126-138

Persistent link: https://www.econbiz.de/10011825600

Back-testing extreme value and Lévy value-at-risk models : Evidence from international futures markets

Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun - In: The Journal of Risk Finance 18 (2017) 1, pp. 88-118

for VaR, the authors follow a bootstrap method to determine the VaR and the confidence intervals. Finally, for back-testing … the entire distribution has little effect on either VaR calculation or a VaR model’s back-testing performance. Originality …/value To the best of the authors’ knowledge, this is the first study to explore the back-testing performance of Lévy-based VaR …

Persistent link: https://www.econbiz.de/10014901897

A quantitative framework for testing the resilience of Islamic finance portfolios under IFSB and Basel capital rules

Aydın, Nadi Serhan - In: International Journal of Islamic and Middle Eastern … 10 (2017) 3, pp. 290-311

Purpose This paper aims to introduce a model-based stress-testing methodology for Islamic finance products. The importance of stress testing was indeed clearly underlined by the adverse developments in the global finance industry. One of the key takeaways was the need to strengthen the coverage...

Persistent link: https://www.econbiz.de/10014826695

Commodities returns’ volatility in financialization era

Handika, Rangga; Putra, Iswahyudi Sondi - In: Studies in Economics and Finance 34 (2017) 3, pp. 344-362

financialized commodity markets. Design/methodology/approach This paper uses the VaR back-testing approach at six different …

Persistent link: https://www.econbiz.de/10015014165

Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations

Chen, Qian - 2011

level forecasting.4. Derive an easily applicable backtesting method for conditional VaR or expected shortfall.5. Improve the … formal and non-formal backtesting methods. The model-fitting performances are demonstrated by a range of residual tests. We …

Persistent link: https://www.econbiz.de/10009480085

Regulación y valor en riesgo

Melo, Luis Fernando; Granados, Joan Camilo - In: ENSAYOS SOBRE POLÍTICA ECONÓMICA (2011)

tiene en cuenta pocos supuestos para la validación del cálculo del VaR (backtesting). Este documento calcula dos medidas de …

Persistent link: https://www.econbiz.de/10010828149

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

McAleer, Michael; Chen, Cathy W. S.; Gerlach, Richard; … - Facultad de Ciencias Económicas y Empresariales, … - 2011

violation rates, back-testing criteria, market risk charges and quantile loss function values to measure and assess the …

Persistent link: https://www.econbiz.de/10009141357

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range

Chen, C.W.S.; Gerlach, R.; Hwang, B.B.K.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2011

, back-testing criteria, market risk charges and quantile loss function to measure the forecasting performance of a variety …

Persistent link: https://www.econbiz.de/10009150025

The Comparison of Volatility Forecasting Models in VaR Calculations and Backtesting according to Basel II: An Application on ISE 100 Index

Korkmaz, Turhan; Bostanci, Ahmet - In: Business and Economics Research Journal 2 (2011) 3, pp. 1-1

are being used for calculating the VaR numbers and the results are tested by backtesting method based on Basel II. Among …

Persistent link: https://www.econbiz.de/10009194535

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - Institute of Economic Research, Kyoto University - 2011

violation rates, back-testing criteria, market risk charges and quantile loss function values to measure and assess the …

Persistent link: https://www.econbiz.de/10009018856