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Caviar : Conditional Value at Risk by Quantile Regression

Manganelli, Simone; Engle, Robert F. - 2021

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the methodologies developed so far give satisfactory...

Persistent link: https://www.econbiz.de/10013218406

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10012784980

International Asset Allocation with Time-Varying Correlations

Bekaert, Geert - 2008

a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more …

Persistent link: https://www.econbiz.de/10012774819

On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model

Chan, Louis K. C. - 2010

-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … factors does not improve forecast power. Portfolio optimization helps for risk control, but the different covariance models … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …

Persistent link: https://www.econbiz.de/10012763801

Bank Trading Risk and Systemic Risk

Jorion, Philippe - 2010

post-1998 period has witnessed an increase in volatility of trading revenues …

Persistent link: https://www.econbiz.de/10012762521

Optimal Asset Allocation in Asset Liability Management

Binsbergen, Jules H. van; Brandt, Michael W. - 2022

We study the impact of regulations on the investment decisions of a defined benefits pension plan. We assess the influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic, decision making. We find that preventive measures, such as...

Persistent link: https://www.econbiz.de/10013405902

Understanding the Correlation between Alzheimer's Disease Polygenic Risk, Wealth, and the Composition of Wealth Holdings

Shin, Su - 2019

third hypothesis, the interaction between age and the Alzheimer's Disease PGS explains the correlation between genetic …

Persistent link: https://www.econbiz.de/10012893141

Risk Reduction in Large Portfolios : Why Imposing the Wrong Constraints Helps

Ma, Tongshu - 2002

Mean-variance efficient portfolios constructed using sample moments often involve taking extreme long and short positions. Hence practitioners often impose portfolio weight constraints when constructing efficient portfolios. Green and Hollifield (1992) argue that the presence of a single...

Persistent link: https://www.econbiz.de/10012787232

The Cross-Section of Risk and Return

Daniel, Kent - 2018

In the finance literature, a common practice is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated with the characteristic, but also unpriced risk. We...

Persistent link: https://www.econbiz.de/10012931218

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …

Persistent link: https://www.econbiz.de/10013224964