Value At Risk And Expected Shortfall Under General Semi Parametric Garch Models PDF Download
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Author | : Xuehai Zhang |
Publisher | : |
Total Pages | : |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Value at Risk and Expected Shortfall Under General Semi-parametric GARCH Models Book in PDF, ePub and Kindle
Author | : Xinxin Huang |
Publisher | : |
Total Pages | : 0 |
Release | : 2014 |
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ISBN | : |
Download Analyzing Value at Risk and Expected Shortfall Methods Book in PDF, ePub and Kindle
Value at Risk (VaR) and Expected Shortfall (ES) are methods often used to measure market risk. Inaccurate and unreliable Value at Risk and Expected Shortfall models can lead to underestimation of the market risk that a firm or financial institution is exposed to, and therefore may jeopardize the well-being or survival of the firm or financial institution during adverse markets. The objective of this study is therefore to examine various Value at Risk and Expected Shortfall models, including fatter tail models, in order to analyze the accuracy and reliability of these models. Thirteen VaR and ES models under three main approaches (Parametric, Non-Parametric and Semi-Parametric) are examined in this study. The results of this study show that the proposed model (ARMA(1,1)-GJR-GARCH(1,1)-SGED) gives the most balanced Value at Risk results. The semi-parametric model (Extreme Value Theory, EVT) is the most accurate Value at Risk model in this study for S&P 500.
Author | : Chuan-Sheng Wang |
Publisher | : |
Total Pages | : |
Release | : 2018 |
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Download SEMIPARAMETRIC ESTIMATION AND INFERENCE FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL. Book in PDF, ePub and Kindle
Conditional Value-at-Risk (hereafter, CVaR) and Expected Shortfall (CES) play an important role in financial risk management. Parametric CVaR and CES enjoy both nice interpretation and capability of multi-dimensional modeling, however they are subject to errors from mis-specification of the noise distribution. On the other hand, nonparametric estimations are robust but suffer from the ''curse of dimensionality'' and slow convergence rate. To overcome these issues, we study semiparametric CVaR and CES estimation and inference for parametric model with nonparametric noise distribution. In this dissertation, under a general framework that allows for many widely used time series models, we propose a semiparametric CVaR estimator and a semiparametric CES estimator that both achieve the parametric convergence rate. Asymptotic properties of the estimators are provided to support the inference. Furthermore, to draw simultaneous inference for CVaR at multiple confidence levels, we establish a functional central limit theorem for CVaR process indexed by the confidence level and use it to study the conditional expected shortfall. A user-friendly bootstrap approach is introduced to facilitate non-expert practitioners to perform confidence interval construction for CVaR and CES. The methodology is illustrated through both Monte Carlo studies and an application to S&P 500 index.
Author | : Xuehai Zhang |
Publisher | : |
Total Pages | : |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Further Development of Semiparametric Volatility Models and Their Applications to Value at Risk and Expected Shortfall Book in PDF, ePub and Kindle
Author | : Adrian R. Bell |
Publisher | : Edward Elgar Publishing |
Total Pages | : 494 |
Release | : 2013-01-01 |
Genre | : Business & Economics |
ISBN | : 0857936093 |
Download Handbook of Research Methods and Applications in Empirical Finance Book in PDF, ePub and Kindle
This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
Author | : Ismail Kheir |
Publisher | : |
Total Pages | : 38 |
Release | : 2019 |
Genre | : |
ISBN | : |
Download GARCH Modeling of Value at Risk and Expected Shortfall Using Bayesian Model Averaging" Book in PDF, ePub and Kindle
This thesis conducts Value at Risk (VaR) and Expected Shortfall (ES) estimation using GARCH modeling and Bayesian Model Averaging (BMA). BMA considers multiple models weighted by some information criterion. Through BMA, this thesis finds that VaR and ES estimates can be improved through enhanced modeling of the data generation process.
Author | : Christoph Boerlin |
Publisher | : |
Total Pages | : |
Release | : 2007 |
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Download Robustness Issues in the Statistical Analysis of GARCH Processes with Applications to Finance Book in PDF, ePub and Kindle
This master's thesis examines the use of robust semi-parametric bootstrap methods for GARCH-type volatility processes for the estimation of Value at Risk (VaR) and Expected Shortfall (ES). I discuss the advantages of ES over VaR, namely that it is sub-additive and provides information which is even more intuitive than that of VaR. The second part of the thesis presents the theoretical background for robust semi-parametric VaR and ES estimation and contains a replication of the Monte Carlo experiments by Trojani and Mancini (2004), who found that robust estimation is more accurate than Filtered Historical Simulation (FHS). Applying FHS, robust FHS using a robust GARCH estimator, Extreme Value Theory (EVT), and robust EVT to estimate 1-day and 10-day VaR and ES, my results are different from theirs. Although the obtained estimations are less precise, they point in the same direction as the findings by Trojani and Mancini (2004).
Author | : Alexander Melichar |
Publisher | : GRIN Verlag |
Total Pages | : 37 |
Release | : 2010-11-30 |
Genre | : Business & Economics |
ISBN | : 3640761618 |
Download Problems of Value At Risk - A Critical View Book in PDF, ePub and Kindle
Seminar paper from the year 2009 in the subject Business economics - Controlling, grade: 1,5, University of Innsbruck (Institut für Banken und Finanzen), course: Seminar SBWL Risk Management, language: English, abstract: This seminar paper is divided in the following chapters: 1. Definition of Value at Risk: What is VaR, several definitions of this figure. 2. The three common approaches for calculating Value at Risk: Historical simulation, Monte Carlo simulation, Variance-Covariance model. 3. The critical view: Problems and limitations of Value at Risk. Which approach can be meaningfully used and when not? Why is Value at Risk not the "only truth" in financial institutions? What are the strengths and weaknesses of the several approaches in calculating Value at Risk?
Author | : Dominique Guegan |
Publisher | : |
Total Pages | : 28 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Forecasting VAR and Expected Shortfall Using Dynamical Systems Book in PDF, ePub and Kindle
Using copulas' approach and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable all along the period under study. Thus, we develop several dynamical models to compute two market risk's measures: the Value at Risk and the Expected Shortfall. The methods considered are the RiskMetric methodology, the Multivariate GARCH models, the Multivariate Markov-Switching models, the empirical histogram and the dynamical copulas. We discuss the choice of the best method with respect to the policy management of banks supervisors. The copula approach seems to be a good compromise between all these models. It permits to take into account financial crises and to obtain a low capital requirement during the most important crises.
Author | : AA.VV |
Publisher | : Casa Editrice Bonechi |
Total Pages | : 184 |
Release | : 2024-07-05 |
Genre | : Business & Economics |
ISBN | : 8847629500 |
Download 2nd Italian Conference on Economic Statistics (ICES 2024), Statistical Analysis of Complex Economic Data: Recent Developments and Applications, Book of Short Papers Book in PDF, ePub and Kindle
In the most recent years, Economic Statistics, like other applied and non-applied sciences, has been involved in the new intense data revolution, which regards all research fields, especially for data collection and data processing issues. The traditional statistical measures, used to monitor economic activities, are transformed from slow and periodic recordings into real-time information, with the need to integrate different sources of information. Complex data offer additional information to analyse economic phenomena, although main problems are still open questions regarding methodological issues, costs of collection, storing and analysis. In the light of this new scenario, the 2nd Conference on Economic Statistics “Statistical Analysis of Complex Economic Data: recent developments and applications”, which occurred in Florence on 7-8 February 2024, aimed to discuss the management and the usefulness of complex data in the analysis of economic phenomena, focusing on the recent developments and empirical applications. This Book of Short Papers includes 40 contributions presented and discussed during the Conference, offering the reader a summary of the contents of the Conference.