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Bank stress testing : a stochastic simulation framework to assess banks' financial fragility

Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …

Persistent link: https://www.econbiz.de/10011890804

Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk

Makarov, Roman - In: Risks : open access journal 11 (2023) 12, pp. 1-24

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...

Persistent link: https://www.econbiz.de/10014446758

Nested MC-based risk measurement of complex portfolios : acceleration and energy efficiency

Desmettre, Sascha; Korn, Ralf; Varela, Javier Alejandro; … - In: Risks : open access journal 4 (2016) 4, pp. 1-35

Risk analysis and management currently have a strong presence in financial institutions, where high performance and energy efficiency are key requirements for acceleration systems, especially when it comes to intraday analysis. In this regard, we approach the estimation of the widely-employed...

Persistent link: https://www.econbiz.de/10011556579

Monte Carlo simulation of the moments of a copula-dependent risk process with Weibull interwaiting time

Alhabshi, Sharifah Farah Syed Yusoff; Zamzuri, Zamira … - In: Risks : open access journal 9 (2021) 6, pp. 1-13

its subsequent claims amount. We use a Monte Carlo simulation to compute the higher-order moments of the risk portfolio …, the premiums and the value-at-risk based on the New Zealand catastrophe historical data. The simulation outcomes under the …

Persistent link: https://www.econbiz.de/10012598393

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

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

Carlo simulation (MCS) approach, denoted henceforth as the classical approach, assumes the independence of loss severity and … approaches are verified using simulation experiments on synthetic data and validated on five publicly available datasets from …

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

Risk measures in simulation-based business valuation : classification of risk measures in risk axiom systems and application in valuation practice

Ernst, Dietmar - In: Risks : open access journal 11 (2023) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014232597

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

-copula simulated returns give very similar but not identical results. Furthermore, the copula simulation provides more accurate market …-risk estimates than historical simulation. Finally, the results support the notion that G7 countries can provide an important …

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

Tail dependence in financial markets : a dynamic copula approach

Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14

This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model´s parameters and in the computation of Value-at-Risk (VaR). Results...

Persistent link: https://www.econbiz.de/10012127765

The accuracy of risk measurement models on bitcoin market during COVID-19 pandemic

Likitratchoaroen, Danai; Kronprasert, Nopadon; … - In: Risks : open access journal 9 (2021) 12, pp. 1-16

this paper, we showed the results of the predicted daily loss of investment by using the historical simulation VaR model …, the delta-normal VaR model, and the Monte Carlo simulation VaR model with the confidence levels of 99%, 95%, and 90%. This …

Persistent link: https://www.econbiz.de/10012794186

A sequential importance sampling for estimating multi-period tail risk

Seo, Ye-Ji; Kim, Sunggon - In: Risks : open access journal 12 (2024) 12, pp. 1-22

: Plain or crude Monte Carlo simulation (CMC) is commonly applied for estimating multiperiod tail risk measures such as …

Persistent link: https://www.econbiz.de/10015328727