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

Does Mixed Frequency Information Help To Forecast the Value at Risk of the Crude Oil Market?

Lyu, Yongjian; Kong, Mengzhen; Ke, Rui; Wei, Yu - 2021

We test the value at risk (VaR) forecasting accuracy of seven generalised autoregressive condition heteroskedasticity …

Persistent link: https://www.econbiz.de/10013241732

To VaR, or Not to VaR, That is the Question

Olkhov, Victor - 2021

This paper discusses the value-at-risk (VaR) concept and assesses the financial adequacy of the price probability …

Persistent link: https://www.econbiz.de/10013241814

Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies using Combinations based on Jump-Robust and Regime-Switching Models

Trucíos, Carlos; Taylor, James W. - 2021

more than a single regime, have performed substantially better than standard methods in terms of volatility and Value-at-Risk … forecasting. Three of those procedures are revisited in this paper, and their Value-at-Risk forecasting performance is evaluated … can improve the forecasting of Value-at-Risk and Expected Shortfall, particularly for the 1% risk levels, making them an …

Persistent link: https://www.econbiz.de/10013242299

Reducing the Risk in Tail Risk Forecasting Models

Clements, Adam; Drovandi, Chris; Li, Dan - 2021

This paper demonstrates that existing quantile regression models used for forecasting Value-at-Risk (VaR) and expected …

Persistent link: https://www.econbiz.de/10013242312

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios : A General Dynamic Factor Model Approach

Hallin, Marc; Trucíos, Carlos - 2021

Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and Expected Shortfall (ES) play …

Persistent link: https://www.econbiz.de/10013242339

Modeling Extreme Events : Time-Varying Extreme Tail Shape

Schwaab, Bernd; Lucas, André; Zhang, Xin - 2021

We propose a dynamic semi-parametric framework to study time variation in tail parameters. The framework builds on the Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a conditional framework to allow for time-variation...

Persistent link: https://www.econbiz.de/10013243812

A New Class of Generalised Hyper-Elliptical Distributions and Their Applications in Computing Conditional Tail Risk Measures

Ignatieva, Katja; Landsman, Zinoviy - 2021

This paper introduces a new family of Generalized Hyper-Elliptical (GHE) distributions providing further generalization of the generalized hyperbolic (GH) family of distributions, considered in Ignatieva and Landsman. The GHE family is constructed by mixing a Generalized Inverse Gaussian (GIG)...

Persistent link: https://www.econbiz.de/10013243894

Empirical Likelihood Estimation of Value-at-Risk and Expected Shortfall With Moment Constraints

Linton, Oliver B.; Zhao, Xiaolu - 2021

Expected Shortfall. We find that these proposed estimators for conditional Value-at-Risk and expected shortfall are …

Persistent link: https://www.econbiz.de/10013246199

The New International Regulation of Market Risk : Roles of VaR and CVaR in Model Validation

Hassani, Samir Saissi; Dionne, Georges - 2021

effect in January 2019. Market risk is measured by Conditional Value at Risk (CVaR) or Expected Shortfall at a confidence …

Persistent link: https://www.econbiz.de/10013247097

Risk Management Model Development by Integrating House of Risk Model and ANP Model

Natalia, Christine; Oktavia, Chendrasari Wahyu; … - 2021

Nowadays business communities are vulnerable to risk, because risk is not only inherent in every activity or business process of the company but also arise in various forms and types. Risks that occur in each company might be different and can present in various forms and cause negative impacts....

Persistent link: https://www.econbiz.de/10013247487