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CAViaR : Conditional Value at Risk by Quantile Regression

Engle, Robert F. - 1999

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/10012471443

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben G. - 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/10012467618

International Asset Allocation with Time-Varying Correlations

Ang, Andrew - 1999

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/10012471745

On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model

Chan, Louis K. C. - 1999

-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/10012471761

Bank Trading Risk and Systemic Risk

Jorion, Philippe - 2005

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

Persistent link: https://www.econbiz.de/10012467650

Downside Risk

Ang, Andrew - 2005

Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross-section of...

Persistent link: https://www.econbiz.de/10012466847

Optimal Asset Allocation in Asset Liability Management

van Binsbergen, Jules H. - 2007

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/10012465686

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

Jagannathan, Ravi - 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/10012469792

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

Shin, Su H. - 2019

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

Persistent link: https://www.econbiz.de/10012479481

The Cross-Section of Risk and Return

Daniel, Kent - 2017

In the finance literature, a common practice is to create factor-portfolios by sorting on characteristics (such as book-to-market, profitability or investment) associated with average returns. The goal of this exercise is to create a parsimonious set of factor-portfolios that explain the...

Persistent link: https://www.econbiz.de/10012453549