Search Results - subject:"Backtesting"

Monte Carlo-based VaR estimation and backtesting under Basel III

Cheng, Yueming - In: Risks : open access journal 13 (2025) 8, pp. 1-17

backtesting frameworks. Under the Basel III backtesting framework, both initially fall into the red zone, with 13 VaR violations …

Persistent link: https://www.econbiz.de/10015448974

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - In: FinTech 5 (2026) 1, pp. 1-50

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...

Persistent link: https://www.econbiz.de/10015628389

Quantifying systemic risk in cryptocurrency markets : a high-frequency approach

Franco, João Pedro M.; Laurini, Márcio Poletti - In: International review of economics & finance : IREF 102 (2025), pp. 1-23

Persistent link: https://www.econbiz.de/10015463018

Comparing the estimation of value at risk and expected shortfall with LSTM and EGARCH family members

Li, Shujie - 2026

Persistent link: https://www.econbiz.de/10015627081

Predicting value at risk for cryptocurrencies with generalized random forests

Buse, Rebekka; Görgen, Konstantin; Schienle, Melanie - In: International journal of forecasting 41 (2025) 3, pp. 1199-1222

Persistent link: https://www.econbiz.de/10015441558

Systematic backtesting of probability of default models with regulatory data : methodological advances and empirical insights from European regulatory data

Casellina, Simone; Chionsini, Gaetano; Kopp, Raphael M.; … - 2026

the quantitative validation of probability of default models through a systematic backtesting exercise using a new … miscalibrations over time. We present an approach to aggregate the results of backtesting procedures, which are typically designed for … capital ratios by 4 to 10 basis points. By offering scalable backtesting tools and enhancing transparency, we support more …

Persistent link: https://www.econbiz.de/10015638710

AI's predictable memory in financial analysis

Didisheim, Antoine; Fraschini, Martina; Somoza, Luciano - In: Economics letters 256 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015475428

Deglobalization and foreign exchange volatility : the role of supply chain pressures

Segnon, Mawuli; Schulte-Tillmann, Björn; Demirer, Rıza; … - 2025

Persistent link: https://www.econbiz.de/10015205838

The multiverse across asset classes : design uncertainty in asset allocations

Battistella, Arnaud; Bertrand, Jean-Charles; Coqueret, … - 2025

Persistent link: https://www.econbiz.de/10015618265

Active tokens and crypto-asset valuation

Pantelidis, Konstantinos - In: Financial innovation : FIN 11 (2025), pp. 1-37

This research investigates token dormancy as a fundamental metric for evaluating cryptocurrency assets and presents a methodology for its measurement. The valuation method involves 4 distinct parameters and utilizes a 3.5-year daily dataset for the "Chainlink" token. The results are used in...

Persistent link: https://www.econbiz.de/10015557879