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Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 121-148
. Special emphasis is paid to two methodologies related to the Extreme Value Theory (EVT): The Peaks Over Threshold (POT) and … the Block Maxima (BM). We apply both unconditional and conditional EVT models to management of extreme market risks in … demonstrate that conditional POT EVT method produces the most accurate forecasts of extreme losses both for standard and more …
Persistent link: https://www.econbiz.de/10005543991
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Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 121-148
. Special emphasis is paid to two methodologies related to the Extreme Value Theory (EVT): The Peaks Over Threshold (POT) and … the Block Maxima (BM). We apply both unconditional and conditional EVT models to management of extreme market risks in … demonstrate that conditional POT EVT method produces the most accurate forecasts of extreme losses both for standard and more …
Persistent link: https://www.econbiz.de/10008538659
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Selection of the right risk measures for portfolio allocation
Nguyen, Thanh - In: International Journal of Monetary Economics and Finance 7 (2014) 2, pp. 135-156
An optimisation framework is proposed to enable investors to select the right risk measures in portfolio selection. Verification is deployed by performing experiments in developed markets (e.g., the US stock market), emerging markets (e.g., the South Korean stock market) and global investments....
Persistent link: https://www.econbiz.de/10010944869
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Risk budgeting and Value-at-Risk
Pilbeam, Keith; Noronha, Rehan - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 149-161
Value-at-Risk (VaR) is a popular risk-metric for reporting financial exposure, for evaluating fund/manager performance and for regulatory disclosures. Yet, VaR is not a coherent risk measure because it is not sub-additive. This paper applies the methodology of risk budgeting to determine if VaR...
Persistent link: https://www.econbiz.de/10005753750
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On the role of volatility for modelling risk exposure
Olmo, Jose - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 219-234
We show in this paper that volatility measures can be misleading indicators of risk if returns do not follow a Gaussian distribution. A more reliable measure of risk is the probability distribution of the return on an asset. Estimators for these measures are usually challenging and need of...
Persistent link: https://www.econbiz.de/10005753752
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The effect of diversification across businesses and within lending activities on risks of commercial banks' portfolios: evidence from South Korea
Papadamou, Stephanos T. - In: International Journal of Monetary Economics and Finance 1 (2008) 3, pp. 284-301
This paper investigates the effects of diversification across interest and non-interest activities, as well as, the effects of diversification within lending activities on banks' risk and return measures. Aggregate and panel data from the restructured (after 1997 crisis) banking industry of...
Persistent link: https://www.econbiz.de/10005753762
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Risk budgeting and Value-at-Risk
Pilbeam, Keith; Noronha, Rehan - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 149-161
Value-at-Risk (VaR) is a popular risk-metric for reporting financial exposure, for evaluating fund/manager performance and for regulatory disclosures. Yet, VaR is not a coherent risk measure because it is not sub-additive. This paper applies the methodology of risk budgeting to determine if VaR...
Persistent link: https://www.econbiz.de/10008538663
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On the role of volatility for modelling risk exposure
Olmo, Jose - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 219-234
We show in this paper that volatility measures can be misleading indicators of risk if returns do not follow a Gaussian distribution. A more reliable measure of risk is the probability distribution of the return on an asset. Estimators for these measures are usually challenging and need of...
Persistent link: https://www.econbiz.de/10008538671
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The effect of diversification across businesses and within lending activities on risks of commercial banks' portfolios: evidence from South Korea
Papadamou, Stephanos T. - In: International Journal of Monetary Economics and Finance 1 (2008) 3, pp. 284-301
This paper investigates the effects of diversification across interest and non-interest activities, as well as, the effects of diversification within lending activities on banks' risk and return measures. Aggregate and panel data from the restructured (after 1997 crisis) banking industry of...
Persistent link: https://www.econbiz.de/10008538693