Search Results - subject:"Backtesting"

VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS

HAN, CHUAN-HSIANG; LIU, WEI-HAN; CHEN, TZU-YING - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450009-1

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility...

Persistent link: https://www.econbiz.de/10010883198

Evaluating the accuracy of value-at-risk forecasts: New multilevel tests

Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International Journal of Forecasting 30 (2014) 2, pp. 206-216

We propose independence and conditional coverage tests which are aimed at evaluating the accuracy of Value-at-Risk (VaR) forecasts from the same model at different confidence levels. The proposed procedures are multilevel tests, i.e., joint tests of several quantiles corresponding to different...

Persistent link: https://www.econbiz.de/10010753460

Semi-nonparametric VaR forecasts for hedge funds during the recent crisis

Brio, Esther B. Del; Mora-Valencia, Andrés; Perote, Javier - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 330-343

The need to provide accurate value-at-risk (VaR) forecasting measures has triggered an important literature in econophysics. Although these accurate VaR models and methodologies are particularly demanded for hedge fund managers, there exist few articles specifically devoted to implement new...

Persistent link: https://www.econbiz.de/10010753616

VaR performance during the subprime and sovereign debt crises: An application to emerging markets

Brio, Esther B. Del; Mora-Valencia, Andrés; Perote, Javier - In: Emerging Markets Review 20 (2014) C, pp. 23-41

implement backtesting techniques for the pre-crisis and crisis periods for stock index returns and a hedge fund of emerging …

Persistent link: https://www.econbiz.de/10010906942

Estimation of risk measures in energy portfolios using modern copula techniques

Jäschke, Stefan - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 359-376

comprehensive backtesting is performed by simulating and comparing the risk measures Value-at-Risk and Expected Shortfall with …

Persistent link: https://www.econbiz.de/10011056554

Risk models-at-risk

Boucher, Christophe M.; Daníelsson, Jón; Kouontchou, … - In: Journal of Banking & Finance 44 (2014) C, pp. 72-92

forecasts by outcomes from backtesting frameworks, considering the desirable quality of VaR models such as the frequency …

Persistent link: https://www.econbiz.de/10011065709

Public Sector Funding and Debt Management: A Case for GDP-Linked Ṣukūk

DIAW, ABDOU; BACHA, OBIYATHULLA ISMATH; LAHSASNA, AHCENE - In: Journal of Islamic Economic Studies 22-1 (2014), pp. 185-216

backtesting method. The model is shown to be a new asset class between the traditional debt and equity instruments and offers …

Persistent link: https://www.econbiz.de/10011094105

A new set of improved Value-at-Risk backtests

Ziggel, Daniel; Berens, Tobias; Weiß, Gregor N.F.; … - In: Journal of Banking & Finance 48 (2014) C, pp. 29-41

We propose a new set of formal backtests for VaR-forecasts that significantly improve upon existing backtesting …

Persistent link: https://www.econbiz.de/10011077978

The Adjustment of VaR to the Empirical Distribution of Returns

Lupu, Radu - In: Theoretical and Applied Economics 4(499) (2006) 4(499), pp. 27-32

Basel II Recommendations concerning internal rating based models approach for financial institutions and the success of RiskMetrics made Value-at-Risk (VaR) is the most important risk measurement instrument at international level. The objective of this paper is to address the problem of adapting...

Persistent link: https://www.econbiz.de/10005099705

Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para 7 países latinoamericanos

Alonso, Julio César; Arcos, Mauricio Alejandro - UNIVERSIDAD ICESI - 2006

Este documento evalúa el comportamiento de diferentes métodos (paramétrico, no paramétricos y semi-paramétricos) para estimar el VaR (valor en riesgo) de un portafolio representativo para 7 países latinoamericanos. El cálculo del VaR implica la estimación del i-ésimo percentil de la...

Persistent link: https://www.econbiz.de/10005466531