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Incorporating micro data into macro models using pseudo VARs

Koop, Gary; McIntyre, Stuart; Mitchell, James; Wu, Ping - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618215

Measuring flood risk in Czechia with stress testing and a Gumbel copula based VaR

Folprecht, Marek - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609159

Model averaging and grid maps for modeling heavy-tailed insurance data

Mothibe, Lira B.; Shongwe, Sandile C. - 2026

This work presents a practical approach to improve risk quantification for heavy-tailed insurance claims through model averaging and grid map visualization, addressing the drawbacks of traditional single "best" model selection commonly used in actuarial and model-fitting literature. This is a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611274

Enhancing predictive performance of LSTM-attention models for investment risk forecasting

Ladhari, Amina; Boubaker, Heni - 2026

For many decades, time-series forecasting has been applied to different problems by scientists and industries. Many models have been introduced for the purpose of forecasting. These advancements have significantly improved the accuracy and reliability of predictions, especially in complex...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611300

Hydrogeological and credit risk : the Italian firms' physical risk-adjusted probability of default

Cugliari, Manuel; Narizzano, Simone; Vassalli, Federica - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613760

Systemic risk transmission in commodity markets

Georgescu, Irina - 2026

This paper investigates tail-risk transmission and asymmetric dependence in commodity markets using an asymmetric fuzzy vine copula framework applied to gold, crude oil, natural gas, and silver from 1 January 2015 to 1 January 2025, extracted from Yahoo Finance. Bootstrap-based trapezoidal fuzzy...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614141

A VaR-based price-based unit commitment framework for generation asset valuation under electricity price risk

Chen, Shih-Ying; Lin, Kuen-Lin; Tsai, Ming-Tang - 2026

In deregulated electricity markets, Generation Companies (GENCOs) are exposed to substantial financial risk due to volatile and uncertain electricity prices. Traditional generation asset valuation approaches, which rely primarily on expected profit, fail to adequately capture downside risk under...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614368

Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2026

We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592338

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Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2024

Book / Working Paper

Structural drivers of growth at risk : insights from a VAR-quantile regression approach

Carboni, Giacomo; Fonseca, Luís; Fornari, Fabio; … - 2026

We investigate the impact of structural shocks on the joint distribution of future real GDP growth and inflation in the euro area. We model the conditional mean of these variables, along with selected financial indicators, using a VAR and perform quantile regressions on the VAR residuals to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592539

Comparative analysis of tail risk in emerging and developed equity markets : an extreme value theory perspective

Dlamini, Sthembiso; Shongwe, Sandile Charles - 2026

This research explores the application of extreme value theory in modelling and quantifying tail risks across different economic equity markets, with focus on the Nairobi Securities Exchange (NSE20), the South African Equity Market (FTSE/JSE Top40) and the US Equity Index (S&P500). The study...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591162

Systemic operational risk in Morocco's banking sector : an empirical analysis using panel VAR

El Khadi, Kawtar; Firano, Zakaria - 2026

This study examines the systemic operational risk in Morocco's banking sector using a Panel VAR model based on data from three banks over ten years. The model includes real GDP, interbank rate (TMP), and bank credit, alongside indicators of operational, credit, and liquidity risks. The Impulse...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591384

Bidding strategy for the lithium battery energy storage system in day-ahead and real-time markets

Lv, Jinzhou; Guo, Yongjian; Zhao, Guangjin; Dong, Ruifeng; … - 2026

The lithium battery energy storage system (ESS) faces problems such as market price fluctuation and uncertainty of frequency modulation (FM) signals when participating in power market. Day-ahead bidding behavior bears revenue risk and real-time bidding behavior needs to adjust. It is necessary...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015603738

Assessing the impact of fiscal incentives on the investment feasibility of geothermal projects in Indonesia : a value-at-risk approach

Susmanto, Andi; Hidayatno, Akhmad; Setiawan, Andri Dwi; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620426

Extreme value inference for heterogeneous heavy-tailed data : a derandomization theory

Daouia, Abdelaati; Hachem, Joseph; Stupfler, Gilles - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625395

Comparing the estimation of value at risk and expected shortfall with LSTM and EGARCH family members

Li, Shujie - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627081

Geopolitical shocks and crude oil market tail risk : evidence from the Russia-Ukraine conflict

Basdekis, Charalampos Vasilios; Christopoulos, Apostolos G. - 2026

This study examines the impact of the Russia-Ukraine war on crude oil tail risk using the Conditional Autoregressive Value at Risk (CAViaR) framework. We analyzed 2364 daily observations of West Texas Intermediate (WTI) crude oil futures spanning 1 January 2015 to 11 December 2023, thereby...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628732

Risk transmission and returns dependence between oil and socially responsible funds?

Ur Rehman, Mobeen; Nautiyal, Neeraj; Zeitun, Rami; Vo … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638206

Forecasting value at risk and expected shortfall in equity markets of high-income and Latin American countries

Liza, Fiorela; Rodriguez, Gabriel; Arellano Ataurima, Miguel - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638652

Systematic backtesting of probability of default models with regulatory data : methodological advances and empirical insights from European regulatory data

Casellina, Simone; Chionsini, Gaetano; Kopp, Raphael M.; … - 2026

Internal ratings-based models play a central role in bank risk management and regulatory capital determination, yet their validation remains methodologically challenging and operationally resourceintensive. In this paper, we contribute to the quantitative validation of probability of default...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638710

Copula Asymmetry Index (CAI++) : measuring asymmetric equity-volatility tail dependence for defensive allocation

Hatzopoulos, Peter; Statiou, Anastasios D. - 2026

This paper introduces the Copula Asymmetry Index (CAI), a rolling, rank-based measure of asymmetric tail dependence between equity returns and implied-volatility proxies. CAI is defined as the difference between the empirical frequency of joint "equity-down & volatility-up" tail events and that...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640224

Spectral climate risk

Cipollini, Andrea; Lo Cascio, Iolanda; Parla, Fabio - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640492

Double-edged sword of diversification : commodities and African equity indices in robust vs. optimal portfolio strategies

Kitenge, Anaclet K.; Muteba Mwamba, John; Mba, Jules C. - 2026

This study empirically investigates a central tension in quantitative finance: the divergence between theoretically optimal and robust portfolio construction under real-world estimation uncertainty. Using a dynamic, time-varying optimization framework, we compare the performance of three...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640563

Navigating extreme market fluctuations : asset allocation strategies in developed vs. emerging economies

Bonga-Bonga, Lumengo - 2026

This paper examines how assets from emerging and developed stock markets can be efficiently allocated during periods of financial crisis by integrating traditional portfolio theory with Extreme Value Theory (EVT), using the Generalized Pareto Distribution (GPD) and Generalized Extreme Value...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640564

The relevance of expected shortfall models in different time window sizes

Fukui, Marcelo; Basso, Leonardo Fernando Cruz - 2026

Risk management has become increasingly important in the financial world. Considering its importance, it is necessary to measure these risks. The financial market uses two risk measures: Value at Risk (VaR) and Expected Shortfall (ES). After the subprime crisis, the market began to emphasize ES...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643139

Regime- and tail-dependent performance of CVaR-based portfolio strategies in cryptocurrencies

Sodnomdavaa, Tsolmon - 2026

Cryptocurrency markets are characterized by extreme volatility, fat-tailed return distributions, and frequent regime shifts, challenging traditional mean-variance portfolio optimization. In such environments, downside risk management becomes central, and tail-sensitive measures such as...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643317

A hierarchical signal-to-policy learning framework for risk-aware portfolio optimization

Yu, Jiayang; Chang, Kuo-Chu - 2026

This study proposes a hierarchical signal-to-policy learning framework for risk-aware portfolio optimization that integrates model-based return forecasting, explainable machine learning, and deep reinforcement learning (DRL) within a unified architecture. In the first stage, next-period returns...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644313

E-backtesting expected shortfall : what defines a "good" forecasting method for Chinese regulators?

Zhao, Weihua - 2026

Following the implementation of Basel IV, China's financial regulators have replaced Value-at-Risk (VaR) with Expected Shortfall (ES) as the standard market risk measure, necessitating regulatory-oriented evaluation of ES forecasts. This study examines what constitutes a prudent ES forecasting...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015656195

Anomaly detection using surprisals

Hyndman, Rob J.; Frazier, David T. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650671

A risk minimization model for capital asset portfolios

Zlatev, Stoyan; Petkova, Milena; Milev, Mariyan; … - 2026

In 1952, Harry Markowitz established the foundations of Modern Portfolio Theory by introducing a mean-variance framework for constructing investment portfolios that optimize the trade-off between risk and expected return. Expanding upon this classical framework, this paper develops an analytical...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015653557

From nature shocks to financial stability : incorporating nature physical risks - in particular water-related risks - into banks' credit risk models and insurers' market risk models

Gallet, Sébastien; Prodani, Julja; Rang, Kitty - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015632814

Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting

Liu, Xiaochun; Luger, Richard - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668493

Weibull option Greeks for managing residual value risk in automotive finance

Ko, Seok Bin - 2026

This study proposes a Weibull-based framework for managing residual value (RV) risk in automotive leasing and demonstrates its direct applicability to key business decisions. Unlike lognormal option models, the Weibull specification captures the asymmetric and fat-tailed nature of used-car...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670041

Ups and (draw) downs

Proietti, Tommaso - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668167

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Ups and (draw)downs

Proietti, Tommaso - 2024

Book / Working Paper

Public-data causal multiscale wavelet spillover learning for stock index volatility forecasting and risk early warning

Liu, Hengyan; Shen, Yisu; Jiang, Aiping - 2026

Accurate volatility forecasting and timely risk early warning are foundational requirements of financial risk management: Value-at-Risk estimates, portfolio risk limits, derivative hedging ratios, and stress-test scenario calibrations all depend on forward-looking volatility signals that remain...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676659

A unified longevity-financial risk framework for evaluating pension funding ratios

Rania, Francesco - 2026

Defined-benefit pension funds face simultaneous exposure to longevity risk and financial market volatility, yet most regulatory frameworks assess these risks in isolation using deterministic methods. This paper examines how their joint occurrence affects fund solvency measured by the funding...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676662

The impact of gold, silver, and Bitcoin volatility on banking systemic risk : safe-haven or amplifier?

Chakroun, Mohamed Amin; Abidli, Faten - 2026

This study examines the dynamic interactions between precious metals (gold and silver) and cryptocurrencies (Bitcoin) in the context of banking systemic risk, by identifying the main banking factors of systemic vulnerability. The MES method was employed to estimate systemic risk, the DCC-GARCH...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676668

How much risk in U.S. government bond markets is transmitted to their Canadian counterparts?

Feunou, Bruno; Fontaine, Jean-Sébastien; Hill, Robert A. - 2026

We address this question by jointly modeling the distributional dynamics of the U.S. and Canadian term premia. Our approach combines a flexible marginal specification-the Skewed Generalized Error Distribution-with a flexible bivariate copula (BB7) to capture evolving cross-market dependence. We...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676683

From regime detection to decision rules : a data-driven macro-financial CVaR framework for European multi-asset portfolios

Martín-Lunas, Jorge Grube; Lazcano, Ana; Sandubete, … - 2026

Weekly macro-financial and financial market data, combined with machine learning methods, offer new possibilities for identifying latent economic states in real time, but the portfolio value of regime detection depends critically on how detected states are translated into allocation rules. This...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676776

A framework for decision making under deep uncertainty in hard-to-abate industries : an application case for investment in a German steel plant

Gaebelein-Khanra, Manish; Klobasa, Marian; Patil, Parag - 2026

Decarbonising hard-to-abate industries is necessary for climate goals, yet investment choices are hindered by deep uncertainty. This study develops an ambiguity-aware investment evaluation framework that accounts for parameter uncertainty, probability ambiguity, and downside risk. Scenario-level...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015674959

Modeling data with nonlinear LogNormal-Pareto regression via the approximate Bayesian computation

Aminzadeh, Mostafa S. - 2026

The development of regression models for composite distributions has received insufficient attention in the literature. The purpose of this research is to provide maximum likelihood (ML) and approximate Bayesian computation (ABC) estimators for the parameters of a regression model with a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059163

Beyond volatility : a leakage-safe residual-stress signal for drawdown risk monitoring

Liu, Ting - 2026

Monitoring equity drawdown risk requires real-time indicators that can be implemented without look-ahead bias and that may add information beyond standard volatility measures. This study develops a leakage-safe residual-stress indicator from cross-sectional PCA reconstruction errors in U.S....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059391

Threshold-dependent dominance in tail risk approximation

Agbeyegbe, Terence D. - 2026

Regulatory risk measurement under Basel III’s Fundamental Review of the Trading Book places Expected Shortfall (ES) at the center of market risk capital, yet the fourth-order Edgeworth expansion, still widely used for Value-at-Risk (VaR) and ES calculations, can produce negative densities in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059569

Transformer-based CoVaR : systemic risk in textual information

Chen, Junyu; Booth, Tom; Kong, Lingwei; Wang, Weining - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676116

Economic conditions and portfolio tail risk : a probability-weighted simulation approach

Jiao, Lei; Zhou, Qing - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070929

A novel scaling approach for unbiased adjustment of risk estimators

Pitera, Marcin; Schmidt, Thorsten; Stettner, Łukasz - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070995

Horizon- and regime-dependent performance of GARCH-type models : evidence from volatility forecasting in a frontier market

Wawire, Abraham Kisembe; Simiyu, Christine Nanjala; … - 2026

In frontier markets, financial volatility exhibits long-memory properties and regime-dependent asymmetries that standard linear models do not capture. This leads to inaccuracies in forecasting risk when a single model is applied across regimes. This study investigates the horizon- and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061275

Asymmetric tail risk spillovers in feed-swine value chains : a time-frequency network approach

Jiang, Chunyan; Li, Xiaobing; Wang, Yayun; Ding, Runze - 2026

This paper investigates the recurrent phenomena of "price decoupling" and "risk resonance" in China's feed-hog supply chain under extreme events and policy shocks. Moving beyond the static frameworks prevalent in existing studies, we integrate multi‑timescale analysis with advanced...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016072202

Cryptocurrency market maturation and evolving risk profiles : a comparative analysis of Bitcoin and ethereum tail risk dynamics

Liashenko, Oksana; Adamyk, Bogdan; Adamyk, Oksana - 2026

This paper examines the market maturation hypothesis in cryptocurrency markets through a three-stage analysis of the evolution of tail risk in Bitcoin (BTC) and Ethereum (ETH). Using daily closing prices from January 2015 to February 2026 for BTC (n = 4058) and November 2017 to February 2026 for...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064308

Data envelopment analysis with shrinkage estimators

Lamb, John D.; Tee, Kaihong - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081972

A heterogeneous-quantile global VAR for tail-risk transmission

Konstantakis, Konstantinos N.; Michaēlidēs, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081721