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Analytic Moments for GARCH Processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - Henley Business School, University of Reading - 2010
Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk … moments of GARCH returns distributions in several ways: we consider a general GARCH model – the GJR specification with a … specific GARCH models largely used in practice are recovered as special cases; we derive the limits of these moments as the …
Persistent link: https://www.econbiz.de/10010838036
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Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk
Alexander, Carol; Sheedy, Elizabeth - Henley Business School, University of Reading - 2007
Under the new capital accord stress tests are to be included in market risk regulatory capital calculations. This development necessitates a coherent and objective framework for stress testing portfolios exposed to market risk. Following recent criticism of stress testing methods our tests are...
Persistent link: https://www.econbiz.de/10005558290