Search Results - subject:"Value‐at‐Risk"

Semiparametric value-at-risk estimation of portfolios : a replication study of dias (Journal of Banking & Finance, 2014)

Xu, Jiahua - In: International Journal for Re-Views in Empirical … 3 (2019) 6, pp. 1-20

This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The …

Persistent link: https://www.econbiz.de/10012123197

A note on stochastic volatility model estimation

Abbara, Omar; Zevallos, Mauricio - In: Revista Brasileira de Finanças : RBFin 17 (2019) 4, pp. 22-32

Persistent link: https://www.econbiz.de/10012221531

Revisiting calibration of the solvency II standard formula for mortality risk : does the standard stress scenario provide an adequate approximation of value-at-risk?

Gylys, Rokas; Šiaulys, Jonas - In: Risks : open access journal 7 (2019) 2/58, pp. 1-24

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from … determined using Solvency II Standard Formula. In particular, two approaches to calculate Value-at-Risk are analyzed: one …-year VaR and run-off VaR . The calculations of Value-at-Risk are performed using stochastic mortality rates which are …

Persistent link: https://www.econbiz.de/10012019003

Practice oriented and Monte Carlo based estimation of the value-at-risk for operational risk measurement

Greselin, Francesca; Piacenza, Fabio; Zitikis, Ričardas - In: Risks : open access journal 7 (2019) 2/50, pp. 1-20

We explore the Monte Carlo steps required to reduce the sampling error of the estimated 99.9% quantile within an acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement, where the annual loss distribution cannot be...

Persistent link: https://www.econbiz.de/10012019128

Value-at-risk and models of dependence in the U.S. federal crop insurance program

Ramsey, A. Ford; Goodwin, Barry K. - In: Journal of risk and financial management : JRFM 12 (2019) 2/65, pp. 1-21

among components of the portfolio. Computing value-at-risk (VaR) is important because the Standard Reinsurance Agreement …

Persistent link: https://www.econbiz.de/10012022159

Conditional value-at-risk

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications …

Persistent link: https://www.econbiz.de/10012025262

Modeling latent variables in economics and finance

Bluteau, Keven - 2019

-day equity log-returns, MSGARCH models yield more accurate Value-at-Risk, Expected Shortfall, and left–tail distribution … Value-at-Risk, d’Expected Shortfall et de la densité que les modèles GARCH sans changement de régime. De plus, mes résultats …

Persistent link: https://www.econbiz.de/10012055679

Uncertainty and risk in the cryptocurrency market

Almeida, Dora; Dionísio, Andreia Teixeira Marques; … - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-17

entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …

Persistent link: https://www.econbiz.de/10014332688

Model and moment selection in factor copula models

Duan, Fang; Manner, Hans; Wied, Dominik - In: Journal of financial econometrics 20 (2022) 1, pp. 45-75

Persistent link: https://www.econbiz.de/10012878186

Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting

Gerlach, Richard; Wang, Chao - In: Journal of financial econometrics 20 (2022) 1, pp. 105-138

Persistent link: https://www.econbiz.de/10012878188