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GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

Ardia, David; Hoogerheide, Lennart - Tinbergen Instituut - 2013

We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily returns for constituents of the S&P 500 index. We assess the...

Persistent link: https://www.econbiz.de/10011257409

A mathematical resurgence of risk management: an extreme modeling of expert opinions

Guegan, Dominique; Hassani, Bertrand - HAL - 2011

The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these risks and to evaluate the pertaining capital charges. Considering that a banking group is composed of numerous entities (branches and subsidiaries), and that each one of them is...

Persistent link: https://www.econbiz.de/10011025772

The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio

Busse, Marc; Dacorogna, Michel; Kratz, Marie - HAL - 2013

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...

Persistent link: https://www.econbiz.de/10010899196

What Is the Best Risk Measure in Practice? A Comparison of Standard Measures

Emmer, Suzanne; Kratz, Marie; Tasche, Dirk - HAL - 2013

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...

Persistent link: https://www.econbiz.de/10010821003

Climate policies as a hedge against the uncertainty on future oil supply

Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010

Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...

Persistent link: https://www.econbiz.de/10010738735

Climate policies as a hedge against the uncertainty on future oil supply

Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010

Persistent link: https://www.econbiz.de/10009647577

Mixed Density based Copula Likelihood

Azam, Kazim; Lucas, Andre - Tinbergen Instituut - 2015

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …

Persistent link: https://www.econbiz.de/10011255720

Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - Tinbergen Instituut - 2013

copulabased non linear quantile regression known as copula quantile regression (CQR).The discussion of the properties of the …

Persistent link: https://www.econbiz.de/10011256497

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2010

robust to large innovations. The model also admits a representation as a time-varying heavy-tailed copula which is …

Persistent link: https://www.econbiz.de/10011257658

Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

Guegan, Dominique; Zhang, Jing - HAL - 2009

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

Persistent link: https://www.econbiz.de/10010738494