Search Results - subject:"Backtesting"

On the role of volatility for modelling risk exposure

Olmo, Jose - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 219-234

We show in this paper that volatility measures can be misleading indicators of risk if returns do not follow a Gaussian distribution. A more reliable measure of risk is the probability distribution of the return on an asset. Estimators for these measures are usually challenging and need of...

Persistent link: https://www.econbiz.de/10005753752

MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH

ANGELIDIS, TIMOTHEOS; SKIADOPOULOS, GEORGE - In: International Journal of Theoretical and Applied … 11 (2008) 05, pp. 447-469

markets for dry and wet cargoes. Backtesting is conducted in two stages by means of statistical tests and a subjective loss …

Persistent link: https://www.econbiz.de/10005050495

Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 121-148

This paper conducts a comparative evaluation of the predictive performance of various Value-at-Risk (VaR) models. Special emphasis is paid to two methodologies related to the Extreme Value Theory (EVT): The Peaks Over Threshold (POT) and the Block Maxima (BM). We apply both unconditional and...

Persistent link: https://www.econbiz.de/10008538659

On the role of volatility for modelling risk exposure

Olmo, Jose - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 219-234

Persistent link: https://www.econbiz.de/10008538671

Early Detection Techniques for Market Risk Failure

Olmo, J.; Pouliot, W. - Department of Economics, City University - 2008

The implementation of appropriate statistical techniques for monitoring conditional VaR models, i.e, backtesting …, reported by institutions is fundamental to determine their exposure to market risk. Backtesting techniques are important since … models. In this paper we make six contributions to backtesting techniques. In particular, we show that the Kupiec test can be …

Persistent link: https://www.econbiz.de/10011268973

Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks

Lucas, André - Faculteit der Economische Wetenschappen en … - 1998

reserves due to opportunity costs. Using a stylized representation of the Basle guidelines for backtesting internal risk models …

Persistent link: https://www.econbiz.de/10010782401

A robust VaR model under different time periods and weighting schemes

Angelidis, Timotheos; Benos, Alexandros; Degiannakis, … - In: Review of Quantitative Finance and Accounting 28 (2007) 2, pp. 187-201

-stage backtesting procedure is implemented. In the first stage the unconditional coverage test is used to examine the statistical …

Persistent link: https://www.econbiz.de/10005542124

Value-at-risk in a market subject to regime switching

Kawata, Ryohei; Kijima, Masaaki - In: Quantitative Finance 7 (2007) 6, pp. 609-619

Many empirical researches report that value-at-risk (VaR) measures understate the actual 1% quantile, while for Inui, K., Kijima, M. and Kitano, A., VaR is subject to a significant positive bias. Stat. Probab. Lett., 2005, 72, 299-311. proved that VaR measures overstate significantly when...

Persistent link: https://www.econbiz.de/10005639927

Robust Value at Risk Prediction

Mancini, Loriano; Trojani, Fabio - School of Economics and Political Science, Universität … - 2007

We propose a general robust semiparametric bootstrap method to estimate conditional predictive distributions of GARCH-type models. Our approach is based on a robust estimator for the parameters in GARCH-type models and a robustified resampling method for standardized GARCH residuals, which...

Persistent link: https://www.econbiz.de/10005453980

Value-at-risk forecasts under scrutiny—the German experience

Jaschke, Stefan; Stahl, Gerhard; Stehle, Richard - In: Quantitative Finance 7 (2007) 6, pp. 621-636

backtesting, which maps the count of exceptions in the trailing year to a multiplicative penalty factor, can be viewed as a way to …

Persistent link: https://www.econbiz.de/10005495737