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The impact of uncertainty shocks under measurement error : a proxy SVAR approach

Carriero, Andrea; Mumtaz, Haroon; Theodoridis, Konstantinos - 2013

A growing empirical literature has considered the impact of uncertainty using SVAR models that include proxies for uncertainty shocks as endogenous variables. In this paper we consider the possible impact of measurement error in the uncertainty shock proxies on the estimated impulse responses...

Persistent link: https://www.econbiz.de/10009784657

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10010324653

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

Persistent link: https://www.econbiz.de/10011301159

Measuring & Managing Financial Risks with Improved Alternatives Beyond Value-at-Risk (VaR)

Malhotra, Yogesh - 2015

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

Persistent link: https://www.econbiz.de/10013024329

Portfolio Construction and Uncertainty

Klement, Joachim - 2009

Traditional mean variance optimization assumes that future returns and covariances of all the assets in the universe are known exactly. In practice, these input parameters are subject to estimation errors that may render the output of the optimization algorithm essentially useless. Here we...

Persistent link: https://www.econbiz.de/10013157196

Many Risks, One (Optimal) Portfolio

Homescu, Cristian - 2014

Persistent link: https://www.econbiz.de/10013050012

Better Risk and Performance Estimates with Factor Model Monte Carlo

Jiang, Yindeng - 2016

A common problem in asset and portfolio risk and performance analysis is that the manager has such a short history of asset returns that risk and performance measure estimates are quite unreliable. But the manager has available long histories of many risk factors and can use a subset of them to...

Persistent link: https://www.econbiz.de/10013007369

Extreme Value Theory Approach to Simultaneous Monitoring and Tresholding of Multiple Risk Indicators

Einmahl, John H. J. - 2007

indicators in such settings face the problem of insufficient data. Extreme value theory is particularly well suited for handling … this type of problems. This paper uses a multivariate extreme value theory approach to establish thresholds for signaling …

Persistent link: https://www.econbiz.de/10012731377

Explicit Diversification Beneift for Dependent Risks

Dacorogna, Michel M. - 2016

We propose a new approach to analyse the effect of diversification on a portfolio of risks. By means of mixing techniques, we provide an explicit formula for the probability density function of the portfolio. These techniques allow to compute analytically risk measures as VaR or TVaR, and...

Persistent link: https://www.econbiz.de/10012994482

Smoothed Quantiles for Measuring Discrete Risks

Brazauskas, Vytaras; Ratnam, Ponmalar - 2022

.Smoothed quantiles are defined using the theory of fractional or imaginary order statistics, which was originated by Stigler (1977). To …

Persistent link: https://www.econbiz.de/10013289187