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Decomposing portfolio value-at-risk : a general analysis
Hallerbach, Winfried G. - 1999 - This rev.: May 10, 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/10011301159
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...
Persistent link: https://www.econbiz.de/10010490408
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Risk management of savings accounts
Džmuráňová, Hana; Teplý, Petr - 2014
This paper deals with the risk management of savings accounts. Savings accounts are non-maturing accounts bearing a relatively attractive rate of return and two embedded options: a customer's option to withdraw money at any time and a bank's option to set the deposit as it wishes. The risk...
Persistent link: https://www.econbiz.de/10010344157
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Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns
Adcock, Christopher J. - 2013
Persistent link: https://www.econbiz.de/10013090404
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Block Bootstrap Consistency Under WeakAssumptions
Calhoun, Gray - Iowa State University of Science and Technology <Ames, … - 2011
This paper weakens the size and moment conditions needed for typical blockbootstrap methods (i.e. the moving blocks, circular blocks, and stationary boot-straps) to be valid for the sample mean of Near-Epoch-Dependent functions ofmixing processes; they are consistent under the weakest conditions...
Persistent link: https://www.econbiz.de/10009360661
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Simulation-based Tests that Can Use Any Number of Simulations
Racine, Jeff; MacKinnon, James G. - 2004
bootstrap tests, is likely to be most useful when simulation is expensive. …
Persistent link: https://www.econbiz.de/10011940649
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Simulation-based Tests that Can Use Any Number of Simulations
Racine, Jeff; MacKinnon, James G. - Economics Department, Queen's University - 2004
bootstrap tests, is likely to be most useful when simulation is expensive. …
Persistent link: https://www.econbiz.de/10005688306
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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
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-7
In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...
Persistent link: https://www.econbiz.de/10011559141
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A New Simulation Based Market Timing Test and an Application to Technical Analysis
Marti, Didier - 2013
%. Thus, we propose a new performance measure based on the simulation of trading positions according to Markov chains. This …
Persistent link: https://www.econbiz.de/10013087612