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

A Neural Network with Shared Dynamics for Multi-Step Prediction of Value-at-Risk and Volatility

Basturk, Nalan; Schotman, Peter C.; Schyns, Hugo - 2021

We develop a LSTM neural network for the joint prediction of volatility, realized volatility and Value-at-Risk …

Persistent link: https://www.econbiz.de/10013220893

Implications of Default Dependency on Portfolio Risk

Steiner, Andreas - 2021

We highlight important and specific characteristics of default risk and methodological implications. In a simulation contrasting independent, Gaussian and Clayton copulas, we also show that joint default probabilities might be a hidden source of risk in conventional portfolio models of default

Persistent link: https://www.econbiz.de/10013221213

Optimal Scenario-Dependent Multivariate Shortfall Risk Measure and its Application in Capital Allocation

Wang, Wei; Xu, Huifu; Ma, Tiejun - 2021

In this paper, we consider a multivariate shortfall risk measure with scenario-dependent allocation weights and examine its properties such as convexity and quasi-convexity. For fixed allocation weights, we show that the resulting risk measure is a convex systemic risk measure in which case the...

Persistent link: https://www.econbiz.de/10013225656

Beyond Value at Risk for Developing Markets

Yahayah, Ibraheem Abiodun; Olowoyo, Monsur Bolaji; … - 2021

The standard metric for assessing risk in the financial realm has been the Value-at-Risk (VaR) with several parametric … and non-parametric approaches and its derivatives which is Conditional Value-at-Risk (CVaR). The inability of VaR to tell …-30). In Particular, we will consider Hull-White Value-at-Risk (HWVaR) and Bubble Value-at-Risk (BVaR) and finally compare …

Persistent link: https://www.econbiz.de/10013226232

Modeling and Forecasting Macroeconomic Downside Risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021

We document a substantial increase in downside risk to US economic growth over the last 30 years. By modelling secular trends and cyclical changes of the predictive density of GDP growth, we find an accelerating decline in the skewness of the conditional distributions, with significant,...

Persistent link: https://www.econbiz.de/10013226483

Asset Allocation with Liquidity-Adjusted Market Risk Modeling : Empirical Relevance to Multiple-Asset Portfolios

Al Janabi, Mazin A. M. - 2021

exposure for financial trading portfolios. This approach is based on the renowned concept of Liquidity-Adjusted Value at Risk …

Persistent link: https://www.econbiz.de/10013227176

Method Development Aspects of Liquidity-Adjusted Value-at-Risk (LVaR) Technique for Multiple-Asset Commodities Portfolios

Al Janabi, Mazin A. M. - 2021

optimization algorithms for the assessment of Liquidity-Adjusted Value at Risk (LVaR) technique under adverse market conditions …

Persistent link: https://www.econbiz.de/10013227398

Risk Capital Allocation under Market Liquidity Constraints

Al Janabi, Mazin A. M. - 2021

We develop measures of certain kinds of liquidity trading risk that is useful for completing the definition of market risk and for predicting liquidity-adjusted VaR (L-VaR) under illiquid market conditions. We argue that asset liquidity risk associated with the uncertainty of liquidating...

Persistent link: https://www.econbiz.de/10013227399

A Value-at-Risk Modeling Techniques to Computing Equity Trading Risk Exposure in Emerging Stock Markets

Al Janabi, Mazin A. M. - 2021

The attempt of this article is to fill a gap in the equity trading risk management literature and particularly from the perspective of emerging and illiquid financial markets, such as in the context of the Moroccan stock market. This paper provides real-world risk management techniques and...

Persistent link: https://www.econbiz.de/10013227807

Encoded Value-at-Risk : A Predictive Machine for Financial Risk Management

Arian, Hamidreza; Moghimi, Mehrdad; Tabatabaei, Ehsan; … - 2021

analyze the global market. In this paper, we provide a novel approach for measuring market risk called Encoded Value-at-Risk …

Persistent link: https://www.econbiz.de/10013228278