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The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates
Fink, Holger Maria; Fuest, Andreas; Port, Henry - In: Risks : open access journal 6 (2018) 3, pp. 1-19
A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model … August 2005–30 September 2016. As a benchmark, we take an ARMA-GARCH and an ARMAX-GARCHX with the 2y-yield difference as the …
Persistent link: https://www.econbiz.de/10011890808
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Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type Value-at-Risk model performance in Thailand's transport...
Danai Likitratcharoen; Lucksuda Suwannamalik - In: Risks : open access journal 12 (2024) 3, pp. 1-19
of VaR approaches. This study critically evaluates the efficacy of GARCH-type VaR models within the transportation sector … GARCH-type VaR models include GARCH (1,1) VaR, ARMA (1,1)-GARCH (1,1) VaR, GARCH (1,1)-M VaR, IGARCH (1,1) VaR, EWMA VaR … surpasses GARCH-type VaR models in failure rate accuracy. Within the GARCH-type category, the EWMA VaR model exhibited superior …
Persistent link: https://www.econbiz.de/10014497424
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Financial time series forecasting using empirical mode decomposition and support vector regression
Nava, Noemi; Di Matteo, Tiziana; Aste, Tomaso - In: Risks : open access journal 6 (2018) 1, pp. 1-21
We introduce a multistep-ahead forecasting methodology that combines empirical mode decomposition (EMD) and support vector regression (SVR). This methodology is based on the idea that the forecasting task is simplified by using as input for SVR the time series decomposed with EMD. The outcomes...
Persistent link: https://www.econbiz.de/10011811500
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A hybrid model for forecasting realized volatility based on heterogeneous autoregressive model and support vector regression
Zhuo, Yue; Morimoto, Takayuki - In: Risks : open access journal 12 (2024) 1, pp. 1-16
In this study, we proposed two types of hybrid models based on the heterogeneous autoregressive (HAR) model and support vector regression (SVR) model to forecast realized volatility (RV). The first model is a residual-type model, where the RV is first predicted using the HAR model, and the...
Persistent link: https://www.econbiz.de/10014480965
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A genetic algorithm for investment–consumption optimization with value-at-risk constraint and information-processing cost
Jin, Zhuo; Yang, Zhixin; Yuan, Quan - In: Risks : open access journal 7 (2019) 1/32, pp. 1-15
This paper studies the optimal investment and consumption strategies in a two-asset model. A dynamic Value-at-Risk constraint is imposed to manage the wealth process. By using Value at Risk as the risk measure during the investment horizon, the decision maker can dynamically monitor the exposed...
Persistent link: https://www.econbiz.de/10012015814
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Revisiting calibration of the solvency II standard formula for mortality risk : does the standard stress scenario provide an adequate approximation of value-at-risk?
Gylys, Rokas; Šiaulys, Jonas - In: Risks : open access journal 7 (2019) 2/58, pp. 1-24
The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as determined using Solvency II Standard Formula. In particular,...
Persistent link: https://www.econbiz.de/10012019003
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Practice oriented and Monte Carlo based estimation of the value-at-risk for operational risk measurement
Greselin, Francesca; Piacenza, Fabio; Zitikis, Ričardas - In: Risks : open access journal 7 (2019) 2/50, pp. 1-20
We explore the Monte Carlo steps required to reduce the sampling error of the estimated 99.9% quantile within an acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement, where the annual loss distribution cannot be...
Persistent link: https://www.econbiz.de/10012019128
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Market risk analysis of energy in vietnam
Ngoc Phu Tran; Thang Cong Nguyen; Duc Hong Vo; McAleer, … - In: Risks : open access journal 7 (2019) 4/112, pp. 1-13
The purpose of this paper is to evaluate and estimate market risk for the ten major industries in Vietnam. The focus of the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with services, food, and telecommunications, targeted for...
Persistent link: https://www.econbiz.de/10012127865
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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
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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