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Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value …-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

Persistent link: https://www.econbiz.de/10012127555

Robust estimation of value-at-risk through distribution-free and parametric approaches using the joint severity and frequency model : applications in financial, actuarial, and natu...

Guharay, Sabyasachi; Chang, KC; Xu, Jie - In: Risks : open access journal 5 (2017) 3, pp. 1-29

(DPFS) using clustering analysis, and copula-based parametric modeling of frequency and severity (CPFS). These two …

Persistent link: https://www.econbiz.de/10011687895

Dependent metaverse risk forecasts with heteroskedastic models and ensemble learning

Syuhada, Kreshna; Tjahjono, Venansius; Hakim, Arief - In: Risks : open access journal 11 (2023) 2, pp. 1-25

Metaverses have been evolving following the popularity of blockchain technology. They build their own cryptocurrencies for transactions inside their platforms. These new cryptocurrencies are, however, still highly speculative, volatile, and risky, motivating us to manage their risk. In this...

Persistent link: https://www.econbiz.de/10014234332

Are liquidity and counterparty risk priced in the credit default swap market?

Pu, Xiaoling; Wang, Junbo; Wu, Chunchi - In: The journal of fixed income 20 (2010/11) 4, pp. 59-79

Persistent link: https://www.econbiz.de/10009007990

Assessing asset-liability risk with neural networks

Cheridito, Patrick; Ery, John; Wüthrich, Mario V. - In: Risks : open access journal 8 (2020) 1/16, pp. 1-17

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio...

Persistent link: https://www.econbiz.de/10012203982

On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles

Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed,...

Persistent link: https://www.econbiz.de/10011867427

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

Persistent link: https://www.econbiz.de/10010399713

Good-deal bounds for option prices under value-at-risk and expected shortfall constraints

Desmettre, Sascha; Laudagé, Christian; Sass, Jörn - In: Risks : open access journal 8 (2020) 4/114, pp. 1-22

In this paper, we deal with the pricing of European options in an incomplete market. We use the common risk measures Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of returns. We show that the pricing bounds obtained from the...

Persistent link: https://www.econbiz.de/10012390405

Managing meteorological risk through expected shortfall

Stefani, Silvana; Kutrolli, Gleda; Moretto, Enrico; … - In: Risks : open access journal 8 (2020) 4/118, pp. 1-23

This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced approach for their pricing. An "hybrid" contract is introduced, combining insurance properties, specifically tailored for the region under study and introducing Value-at-Risk (VaR) and...

Persistent link: https://www.econbiz.de/10012390452

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