Search Results - subject:"backtests"

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Monitoring value-at-risk and expected shortfall forecasts

Hoga, Yannick; Demetrescu, Matei - In: Management science : journal of the Institute for … 69 (2023) 5, pp. 2954-2971

Persistent link: https://www.econbiz.de/10014305469

Defined contribution pension plans : who has seen the risk?

Forsyth, Peter; Vetzal, Kenneth R. - In: Journal of risk and financial management : JRFM 12 (2019) 2/70, pp. 1-27

The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare...

Persistent link: https://www.econbiz.de/10012022143

Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23

’s test, a duration-based backtest, and an asymmetric VaR loss function. Similarly, three backtests were employed for the ES …

Persistent link: https://www.econbiz.de/10012018629

Risk model validation: An intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks 7 (2019) 1, pp. 1-23

's test, a duration-based backtest, and an asymmetric VaR loss function. Similarly, three backtests were employed for the ES …

Persistent link: https://www.econbiz.de/10013200428

Defined contribution pension plans: Who has seen the risk?

Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10012611128

Multi-period mean expected-shortfall strategies : "cut your losses and ride your gains"

Forsyth, Peter; Vetzal, Kenneth R. - In: Applied mathematical finance 29 (2022) 5, pp. 402-438

Persistent link: https://www.econbiz.de/10014323484

Two stage decumulation strategies for DC plan investors

Forsyth, Peter - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10012650200

Optimal dynamic asset allocation for DC plan accumulation/decumulation : Ambition-CVAR

Forsyth, Peter - In: Insurance 93 (2020), pp. 230-245

Persistent link: https://www.econbiz.de/10012294127

Forecasting value at risk and expected shortfall with mixed data sampling

Trung Hai Le - In: International journal of forecasting 36 (2020) 4, pp. 1362-1379

Persistent link: https://www.econbiz.de/10012546780

The Influence of Liquidity Risk on Value-at-Risk Calculations

Bricelj, Bor; Strašek, Sebastjan; Jagric, Timotej - In: Management 8 (2013) 3, pp. 183-197

analysis, but on the other hand, those models are not yet robust enough to pass all backtests. Comparing the results between …

Persistent link: https://www.econbiz.de/10010736545