Backtesting and estimation error: value-at-risk overviolation rate
Sign Up to like & getrecommendations! Published in 2020 at "Empirical Economics"
DOI: 10.1007/s00181-020-01905-4
Abstract: Financial institutions and regulators use value-at-risk (VaR) and related measures as a tool for financial risk management. It is therefore critical to appropriately assess the quality of VaR forecasts and reporting. The VaR estimation error… read more here.
Keywords: value risk; risk; overviolation; estimation error ... See more keywords
Partially ordered data sets and a new efficient method for calculating multivariate conditional value-at-risk
Sign Up to like & getrecommendations! Published in 2019 at "Annals of Operations Research"
DOI: 10.1007/s10479-019-03366-0
Abstract: Recent studies in Lee and Prekopa (Oper Res Lett 45:19–24, 2017) and Lee (Oper Res Lett 45:1204–1220, 2017) showed that a union of partially ordered orthants in $$R^n$$ can be decomposed only into the largest… read more here.
Keywords: value risk; conditional value; oper res; res lett ... See more keywords
Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events
Sign Up to like & getrecommendations! Published in 2018 at "Computational Economics"
DOI: 10.1007/s10614-017-9654-z
Abstract: Importance sampling is a powerful variance reduction technique for rare event simulation, and can be applied to evaluate a portfolio’s Value-at-Risk (VaR). By adding a jump term in the geometric Brownian motion, the jump diffusion… read more here.
Keywords: value risk; jump diffusion; jump; simulation ... See more keywords
In search of robust methods for multi-currency portfolio construction by value at risk
Sign Up to like & getrecommendations! Published in 2018 at "Asia-Pacific Financial Markets"
DOI: 10.1007/s10690-018-9260-7
Abstract: The main purpose of this paper is to select the most appropriate technique predicting precisely the exchange rate risk from three main approaches, namely, the Historical Simulation approach, the Variance–Covariance approach and the Monte Carlo… read more here.
Keywords: value risk; multi currency; risk; currency portfolio ... See more keywords
About the conditional value at risk of partial sums
Sign Up to like & getrecommendations! Published in 2017 at "Comptes Rendus Mathematique"
DOI: 10.1016/j.crma.2017.10.008
Abstract: Abstract In this note, we give normal approximation results for the conditional value at risk (CVaR) of partial sums of random variables satisfying moment assumptions. These results are based on Berry–Esseen-type bounds for transport costs… read more here.
Keywords: partial sums; value risk; conditional value; risk partial ... See more keywords
Performance Visualization in Industrial Systems for Informed Decision Making
Sign Up to like & getrecommendations! Published in 2018 at "IFAC-PapersOnLine"
DOI: 10.1016/j.ifacol.2018.08.376
Abstract: Abstract Information visualization is a key component of many decision support tools in sciences and engineering. Graph is a visual construct that is widely used to model information for visualization. In this paper, a value-risk… read more here.
Keywords: value risk; visualization; value; performance ... See more keywords
Model-free bounds on Value-at-Risk using extreme value information and statistical distances
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2019.01.007
Abstract: We derive bounds on the distribution function, therefore also on the Value-at-Risk, of $\varphi(\mathbf X)$ where $\varphi$ is an aggregation function and $\mathbf X = (X_1,\dots,X_d)$ is a random vector with known marginal distributions and… read more here.
Keywords: value; value risk; extreme value; value information ... See more keywords
Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2018.03.016
Abstract: In this paper, we present a novel perspective on data filtering and present an innovative wavelet-based approach that leads to improved Value-at-Risk (VaR) forecasts. A separation of financial conditional volatility into short-, mid- and long-run… read more here.
Keywords: volatility; value risk; quality assessment; regulatory quality ... See more keywords
Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models
Sign Up to like & getrecommendations! Published in 2020 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2020.101259
Abstract: Abstract Since the financial crisis, risk management has been of growing interest to investors and the approach of Value-at-Risk has gained wide acceptance. Investing in Cryptocurrencies brings not only huge rewards but also huge risks.… read more here.
Keywords: value risk; risk; forecasting value; value ... See more keywords
Dependent bootstrapping for value-at-risk and expected shortfall
Sign Up to like & getrecommendations! Published in 2017 at "Risk Management"
DOI: 10.1057/s41283-017-0023-y
Abstract: Estimation in extreme financial risk is often faced with challenges such as the need for adequate distributional assumptions, considerations for data dependencies, and the lack of tail information. Bootstrapping provides an alternative that overcomes some… read more here.
Keywords: dependent bootstrapping; value risk; risk; risk expected ... See more keywords
The impact of liquidity on portfolio value-at-risk forecasts
Sign Up to like & getrecommendations! Published in 2019 at "Applied Economics"
DOI: 10.1080/00036846.2019.1644442
Abstract: ABSTRACT Historical crisis events have highlighted the insufficiency of Value-at-Risk (VaR) as a measure of market risk because such metric does not take liquidity into account. Unlike previous studies analyzing with only a single asset,… read more here.
Keywords: liquidity; value risk; impact liquidity; portfolio ... See more keywords