Search Results - subject:"value‐at‐risk"

A basic asymptotic test for value-at-risk subadditivity

Hofert, Marius - In: Risks : open access journal 12 (2024) 12, pp. 1-12

An asymptotic hypothesis test for value-at-risk subadditivity is introduced and studied. The test is derived based on … an equivalent formulation of the value-at-risk subadditivity inequality in terms of the distribution of the underlying … dependence structures, strength of dependence, marginal distributions, sample sizes, number of risks and value-at-risk confidence …

Persistent link: https://www.econbiz.de/10015327750

Estimating tail risk in ultra-high-frequency cryptocurrency data

Giannopoulos, Kostas; Nekhili, Ramzi; … - 2024

Understanding the density of possible prices in one-minute intervals provides traders, investors, and financial institutions with the data necessary for making informed decisions, managing risk, optimizing trading strategies, and enhancing the overall efficiency of the cryptocurrency market....

Persistent link: https://www.econbiz.de/10015338207

Conditional distributionally robust functionals

Shapiro, Alexander; Pichler, Alois - In: Operations research 72 (2024) 6, pp. 2745-2757

Persistent link: https://www.econbiz.de/10015371558

Collective dynamic risk measures

Doldi, Alessandro; Frittelli, Marco; Rosazza Gianin, … - In: Frontiers of mathematical finance : FMF 3 (2024) 3, pp. 376-399

Persistent link: https://www.econbiz.de/10015376040

A novel robust method for estimating the covariance matrix of financial returns with applications to risk management

Leccadito, Arturo; Staino, Alessandro; Toscano, Pietro - In: Financial innovation : FIN 10 (2024), pp. 1-28

This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk …

Persistent link: https://www.econbiz.de/10015361657

Modelling risk-weighted assets : looking beyond stress tests

Švéda, Josef; Panoš, Jiří; Siuda, Vojtěch - 2024

We propose an improved methodology for modelling potential scenario paths of banks' riskweighted assets, which drive the denominator of capital adequacy ratios. Our approach centres on modelling the internal risk structure of bank portfolios and thus aims to provide more accurate estimations...

Persistent link: https://www.econbiz.de/10014495257

A prelude to statistics in Wasserstein metric spaces

Chon Van Le; Uyen Hoang Pham - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 54-66

Purpose - This paper aims mainly at introducing applied statisticians and econometricians to the current research methodology with non-Euclidean data sets. Specifically, it provides the basis and rationale for statistics in Wasserstein space, where the metric on probability measures is taken as...

Persistent link: https://www.econbiz.de/10014497027

Model for technology risk assessment in commercial banks

Kang, Wenhao; Cheung, Chi Fai - In: Risks : open access journal 12 (2024) 2, pp. 1-20

As the complexity of banking technology systems increases, the prevention of technological risk becomes an endless battle. Currently, most banks rely on the experience and subjective judgement of experts and employees to allocate resources for technological risk management, which does not...

Persistent link: https://www.econbiz.de/10014497394

Value-at-Risk effectiveness : a high-frequency data approach with semi-heavy tails

Contreras-Valdez, Mario Ivan; Sahu, Sonal; … - In: Risks : open access journal 12 (2024) 3, pp. 1-23

In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of Value-at-Risk …

Persistent link: https://www.econbiz.de/10014497426

Daily growth at risk : financial or real drivers? : the answer is not always the same

Chuliá, Helena; Garron, Ignacio; Uribe, Jorge - In: International journal of forecasting 40 (2024) 2, pp. 762-776

Persistent link: https://www.econbiz.de/10014547204