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Market risk management in a Post-Basel II regulatory environment

Urošević, Branko; Drenovak, Mikica; Ranković, Vladimir; … - 2016

We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced...

Persistent link: https://www.econbiz.de/10011587953

How accurate are modern value-at-risk estimators derived from extreme value theory?

Auer, Benjamin R.; Mögel, Benjamin - 2016

In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators … that the traditional historical simulation approach, which is currently the most frequently used VaR estimator in …

Persistent link: https://www.econbiz.de/10011587888

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003641741

Aggregate insider trading and stock market volatility in the UK

Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023

specifically, a Vector Autoregression (VAR) model is estimated and Impulse Response analysis as well as Forecast Error Variance …

Persistent link: https://www.econbiz.de/10014304456

Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall Keith - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen …. In addition to widely used VaR and ES models, we also study the behavior of conditional and unconditional extreme value …

Persistent link: https://www.econbiz.de/10003891679

When carry goes bad : the magnitude, causes, and duration of currency carry unwinds

Melvin, Michael; Shand, Duncan - 2016

We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown duration is estimated. We find evidence that drawdown...

Persistent link: https://www.econbiz.de/10011568722

Identification of new Keynesian Phillips Curves from a global perspective

Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2008

Persistent link: https://www.econbiz.de/10003641659

A VECX model of the Swiss economy

Assenmacher, Katrin (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003688893

Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management

Pesaran, M. Hashem (contributor); … - 2004

considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as average ̕models and its exact … and asymptotic properties are established. The model averaging idea and the VaR diagnostic tests are illustrated by an …

Persistent link: https://www.econbiz.de/10002523934

An unconventional FX tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and liquidity) measures across the globe with an original and unique dataset that we make publicly available. Using a standard factor model, we derive theoretical measures of tail...

Persistent link: https://www.econbiz.de/10014336426