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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

Model risk of risk models

Danielsson, Jon; James, Kevin R.; Valenzuela, Marcela; … - London School of Economics (LSE) - 2014

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk...

Persistent link: https://www.econbiz.de/10011163510

Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests

Dumitrescu, Elena-Ivona; Hurlin, Christophe; Pham, Vinson - HAL - 2012

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed by Engle and Manganelli (2004), relies on a linear model. However, in view of the di- chotomic character of the...

Persistent link: https://www.econbiz.de/10009651571

Backtesting VaR Accuracy: A New Simple Test

Hurlin, Christophe; Tokpavi, Sessi - HAL - 2006

This paper proposes a new test of Value at Risk (VaR) validation. Our test exploits the idea that the sequence of VaR violations (Hit function) - taking value 1-α, if there is a violation, and -α otherwise - for a nominal coverage rate α verifies the properties of a martingale difference if...

Persistent link: https://www.econbiz.de/10008794257

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

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

Capturing the time-varying drivers of an epidemic using stochastic dynamical systems

Dureau, Joseph; Kalogeropoulos, Konstantinos; Baguelin, Marc - London School of Economics (LSE) - 2013

Epidemics are often modeled using non-linear dynamical systems observed through partial and noisy data. In this paper, we consider stochastic extensions in order to capture unknown influences (changing behaviors, public interventions, seasonal effects, etc.). These models assign diffusion...

Persistent link: https://www.econbiz.de/10010746158

Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

Guegan, Dominique; Zhang, Jing - HAL - 2009

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

Persistent link: https://www.econbiz.de/10010738494

Pricing bivariate option under GARCH processes with time-varying copula

Zhang, Jing; Guegan, Dominique - HAL - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10010738655

Portfolio credit risk of default and spread widening

Zhao, Hongbiao - London School of Economics (LSE) - 2011

consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula …

Persistent link: https://www.econbiz.de/10010745286