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Exploring How Macroeconomic Factors Affect REITs and Evaluating Its Downside Risk – Empirical Evidence From China and the US
Hu, Xiaoyu - In: Junior Management Science (JUMS) 7 (2022) 4, pp. 874-898
questions have been answered using the literature review methodology. The VAR model is constructed to evaluate the relation … between the REIT market and macroeconomic factors. Ultimately, downside risk of REIT market is assessed by the GARCH(1,1)-VaR …
Persistent link: https://www.econbiz.de/10014528919
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The Hidden Risks of Optimizing Bond Portfolios under VaR
Winker, Peter; Maringer, Dietmar - 2004
Value at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the … corner stones in the Basel II accord about banks' equity requirements. Nevertheless, the practical application of the VaR … concept suffers from two problems: how to estimate VaR and how to optimize a portfolio for a given level of VaR? For the first …
Persistent link: https://www.econbiz.de/10010296148
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Multi-Objective Programming for Supplier Selection and Order Allocation Under Disruption Risk and Demand, Quality, and Delay Time Uncertainties
Assellaou, Hanane; Ouhbi, Brahim; Frikh, Bouchra - In: International Journal of Business Analytics (IJBAN) 5 (2018) 2, pp. 30-56
types of risk evaluation models: value-at-risk (VaR) and conditional value-at-risk (CVaR). Two examples are given to …
Persistent link: https://www.econbiz.de/10012043201
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Value at risk forecasting with the ARMA-GARCH family of models in times of increased volatility
Jánský, Ivo; Rippel, Milan - 2011
The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and …
Persistent link: https://www.econbiz.de/10010322244
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Risk Measures for Autocorrelated Hedge Fund Returns
Cesare, Antonio Di; Stork, Philip A.; de Vries, Casper G. - 2011
Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported returns. Getmansky et al. (2004) derive mean,variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Followingtheir lead, adjusted downside and global...
Persistent link: https://www.econbiz.de/10010326197
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The sensitivity of Value-at-Risk estimates using Monte Carlo approach
Agiakloglou, Christos; Agiropoulos, Charalampos - In: SPOUDAI - Journal of Economics and Business 61 (2011) 1/2, pp. 7-12
This study examines the sensitivity of VaR estimates obtained with Monte Carlo technique using the data set of Benninga …
Persistent link: https://www.econbiz.de/10010343124
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The use of a value at risk measure for the analysis of bank interest margins
Gemzik-Salwach, Agata - In: e-Finanse: Financial Internet Quarterly 8 (2012) 4, pp. 15-29
The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing possibilities of using this measure, the use of a new method has been proposed, namely, correcting various indicators of bank interest margins by using the Value at Risk...
Persistent link: https://www.econbiz.de/10011551380
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Scenario-based stress tests: Are they painful enough?
Ellis, Colin - In: Contemporary Economics 11 (2017) 2, pp. 219-234
Forecasts, models and stress tests are important tools for policymakers and business planners. Recent developments in these related spheres have seen greater emphasis placed on stress tests from a regulatory perspective, while at the same time forecasting performance has been criticized. Given...
Persistent link: https://www.econbiz.de/10011995303
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Goodness-of-fit versus significance: A CAPM selection with dynamic betas applied to the Brazilian stock market
de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies 5 (2017) 4, pp. 1-21
chosen based on goodness-of-fit tests and parameters significance. Finally, using the selected dynamic models, VaR (Value …-at-Risk) measures are calculated. We can conclude that CAPM with time-varying betas provide less conservative VaR measures than those … based on CAPM with static betas or historical VaR. …
Persistent link: https://www.econbiz.de/10011996066
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An empirical investigation of risk-return relations in Chinese equity markets: Evidence from aggregate and sectoral data
Chiang, Thomas C.; Zhang, Yuanqing - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-22
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...
Persistent link: https://www.econbiz.de/10011996123