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

Financial conditions and downside risk to economic activity in Australia

Hartigan, Luke; Wright, Michelle - 2021

Persistent link: https://www.econbiz.de/10013263124

Dynamic CoVaR

Pinheiro, Jorge; C. Herculano, Miguel - 2021

Its conceptual appeal has made the Conditional Value at Risk (CoVaR) one of the most influential systemic risk …

Persistent link: https://www.econbiz.de/10013211507

The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing

Arismendi-Zambrano, Juan; Belitsky, Vladimir; Sobreiro, … - 2021

This paper investigates the counterparty credit risk of interest rate swaps positions using the credit valuation adjustment (CVA) measure, and examines the potential dependency relationships between the probability of default (PD) and exposure at default (EAD). We empirically tested, using...

Persistent link: https://www.econbiz.de/10013211556

Interest Rate Sensitivities of Bond Risk Measures

Crack, Timothy Falcon; Nawalkha, Sanjay K. - 2021

We derive a simple expression for the sensitivity of duration, convexity, and higher-order bond risk measures to changes in term structure shape parameters. Our analysis enables fixed income portfolio managers to capture the combined effects of term structure level, slope, and curvature shifts...

Persistent link: https://www.econbiz.de/10013211994

Scalarized utility-based multi-asset risk measures

Desmettre, Sascha; Laudagé, Christian; Sass, Jörn - 2021

Financial institutions have to satisfy capital adequacy tests required, e.g., by the Basel Accords for banks or by Solvency II for insurers. If the financial situation of an institution is tight, then it can happen that no reallocation of the initial endowment would pass the capital adequacy...

Persistent link: https://www.econbiz.de/10013212026

Sensitivities-Based Method and Expected Shortfall for Market Risk Under FRTB and Its Impact on Options Risk Capital

Grajales, Carlos Alexander; Medina Hurtado, Santiago - 2021

The changes in the Basel FRTB regulation come into effect in 2023 and will expose banking institutions to new challenges in terms of implementation, risk quantification and impacts on capital requirements. This paper first suggests an algorithm for implementing the FRTB standardised approach via...

Persistent link: https://www.econbiz.de/10013212064

Impact of Intellectual Capital Efficiency on Firm performance, CAPM expected return and Value at Risk of IT MNCs in India

N, Niyas; Kavida, V. - 2021

indicators (ROA, ROE, EPS and NPM), CAPM Expected return and Value at Risk of the selected IT MNCs in India. The study employed … return. The study showed that the Value at Risk will be reduced if IC coefficient is high. High level of HCE and CEE reduces … Value At Risk. The study is limited in analyzing only IT industry and the number of companies taken for the analysis is …

Persistent link: https://www.econbiz.de/10013212703

A New Methodology for Modelling Operational Risk using Skew t Copula and Bayesian Inference

Garzon Rozo, Betty Johanna; Crook, Jonathan N.; … - 2021

We present a general methodology based on skew t copulas and Bayesian inference for modelling extreme multivariate dependent losses and the regulatory capital for operational risk. Current approaches fail to model both asymmetric dependence and accurate extreme upper tail dependence (e.g. 99.9%...

Persistent link: https://www.econbiz.de/10013213355

Risk Measures Induced by Efficient Insurance Contracts

Wang, Qiuqi; Wang, Ruodu; Zitikis, Ricardas - 2021

The Expected Shortfall (ES) is one of the most important regulatory risk measures in finance, insurance, and statistics, which has recently been characterized via sets of axioms from perspectives of portfolio risk management and statistics. Meanwhile, there is large literature on insurance...

Persistent link: https://www.econbiz.de/10013210827

Optimal Portfolio Selection With VaR and Portfolio Insurance Constraints Under Rank-Dependent Expected Utility Theory

Mi, Hui; Xu, Zuo Quan - 2021

manage his risk exposure: one with a single Value-at-Risk (VaR) constraint and the other with joint VaR and portfolio …

Persistent link: https://www.econbiz.de/10013219521