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A new tail-based correlation measure and its application in global equity markets

Liu, Jinjing - 2019

The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure … focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the … existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …

Persistent link: https://www.econbiz.de/10012004764

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

Persistent link: https://www.econbiz.de/10009765347

Risk measures in finance : congruent or contrasting?

Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180

Persistent link: https://www.econbiz.de/10012391033

Stress testing correlation matrices for risk management

So, Mike Ka-pui; Wong, Jerry; Asai, Manabu - In: The North American journal of economics and finance : a … 26 (2013), pp. 310-322

Persistent link: https://www.econbiz.de/10010365763

Portfolio construction based on implied correlation information and value at risk

Rogel-Salazar, Jesús; Tella, Roberto - In: EconoQuantum : Revista de Economía y Negocios 12 (2015) 1, pp. 125-144

Persistent link: https://www.econbiz.de/10011558686

The empirical relation between credit quality, recovery and correlation

Rösch, Daniel; Scheule, Harald - 2009

correlation. …

Persistent link: https://www.econbiz.de/10010276410

Sensitivity Analysis of VaR and Expected Shortfall for Portfolios under Netting Agreements

Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In this paper, we characterize explicitly the ﬁrst derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...

Persistent link: https://www.econbiz.de/10005858398

Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements

FERMANIAN, Jean-David; SCAILLET, Olivier - Swiss Finance Institute - 2003

In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...

Persistent link: https://www.econbiz.de/10005771798

Assessing coherent value-at-risk and expected shortfall with extreme expectiles

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2015

Persistent link: https://www.econbiz.de/10011302290

Bayesian analysis of periodic asymmetric power GARCH models

Aknouche, Abdelhakim; Demmouche, Nacer; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10012299605