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What Is the Best Risk Measure in Practice? A Comparison of Standard Measures

Emmer, Suzanne; Kratz, Marie; Tasche, Dirk - HAL - 2013

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...

Persistent link: https://www.econbiz.de/10010821003

The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio

Busse, Marc; Dacorogna, Michel; Kratz, Marie - HAL - 2013

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...

Persistent link: https://www.econbiz.de/10010899196

A mathematical resurgence of risk management: an extreme modeling of expert opinions

Guegan, Dominique; Hassani, Bertrand - HAL - 2011

The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these risks and to evaluate the pertaining capital charges. Considering that a banking group is composed of numerous entities (branches and subsidiaries), and that each one of them is...

Persistent link: https://www.econbiz.de/10011025772

Climate policies as a hedge against the uncertainty on future oil supply

Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010

Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...

Persistent link: https://www.econbiz.de/10009647577

Climate policies as a hedge against the uncertainty on future oil supply

Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010

Persistent link: https://www.econbiz.de/10010738735

On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates

Truchis, Gilles De; Keddad, Benjamin - HAL - 2014

both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility … for the European and British exchange rates. Concerning the copula analysis, we conclude in favor of weak dependence when …

Persistent link: https://www.econbiz.de/10010933834

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - Center for Financial Studies - 2013

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables … multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … proposed copula-based transformation is supported by the data and allows capturing (multivariate) dynamics in higher order …

Persistent link: https://www.econbiz.de/10010958506

Efficient iterative maximum likelihood estimation of high-parameterized time series models

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - Center for Financial Studies - 2014

We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...

Persistent link: https://www.econbiz.de/10010958791

The pricing of correlated default risk: evidence from the credit derivatives market

Zhu, Haibin; Tarashev, Nikola A. - Deutsche Bundesbank - 2008

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...

Persistent link: https://www.econbiz.de/10005082786

Non-stationarity and meta-distribution

Guegan, Dominique - HAL - 2008

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

Persistent link: https://www.econbiz.de/10010750362