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Currency Hedge Design : Accounting for Uncertain Correlation and Volatility

Seymour, Anthony - 2016

currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic …

Persistent link: https://www.econbiz.de/10012994157

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

Beyond ‘Bayesian vs. VaR’ Dilemma to Empirical Model Risk Management : How to Manage Risk (After Risk Management Has Failed) for Hedge Funds

Malhotra, Yogesh - 2015

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...

Persistent link: https://www.econbiz.de/10013031477

Beyond ‘Bayesian vs. Var’ Dilemma to Empirical Model Risk Management : Managing Risk for Hedge Funds

Malhotra, Yogesh - 2023

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...

Persistent link: https://www.econbiz.de/10014263882

The Interaction between Inflation and Inflation Uncertainty : A Multivariate Time-Varying Asymmetric Approach

Riadh, Riadh Abed - 2015

In the present study, we examine the relationship between inflation and inflation uncertainty using monthly Consumer Price Index for Tunisian, Turkish and Egypt covering the period 1990:M1-2014:M12. We adopt a multivariate asymmetric dynamic conditional correlation EGARCH framework. The...

Persistent link: https://www.econbiz.de/10013015304

Inter-Temporal Risk Parity : A Constant Volatility Framework for Factor Investing

Perchet, Romain - 2015

significantly, when an inter-temporal risk parity strategy is applied. Volatility clustering and fat tails are behind this … strongest volatility clustering and fat tails. For government bond factors, with little volatility clustering, the benefits of …

Persistent link: https://www.econbiz.de/10013033533

Macroeconomic determinants of stock market volatility and volatility risk-premiums

Corradi, Valentina; Distaso, Walter; Mele, Antonio - 2012

require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We find that volatility risk-premia are strongly countercyclical, even more so than standard measures of …

Persistent link: https://www.econbiz.de/10009558368

The changing transmission of uncertainty shocks in the US : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2014

This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find...

Persistent link: https://www.econbiz.de/10010472799

Macroeconomic determinants of stock market returns, volatility and volatility risk-premia

Corradi, Valentina (contributor); … - 2008

require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We find that volatility risk-premia are strongly countercyclical, even more so than standard measures of …

Persistent link: https://www.econbiz.de/10003848514

The state level impact of uncertainty shocks

Mumtaz, Haroon; Sunder-Plassmann, Laura; … - 2016

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …

Persistent link: https://www.econbiz.de/10011448758