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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

Augoregressive Conditional Kurtosis

Brooks, Chris; Burke, Simon P.; Persand, Gita - Henley Business School, University of Reading - 2002

This paper proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t density and...

Persistent link: https://www.econbiz.de/10005558309

On The Continuous Limit of GARCH

Alexandra, Carol; Lazar, Emese - Henley Business School, University of Reading - 2005

GARCH processes constitute the major area of time series variance analysis hence the limit of these processes is of … considerable interest for continuous time volatility modelling. The limit of the GARCH(1,1) model is fundamental for limits of … other GARCH processes yet it has been the subject of much debate. The seminal work of Nelson (1990) derived this limit as a …

Persistent link: https://www.econbiz.de/10005178167