Add to ORKGThis paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses the conditional distribution for these contracts to estimate spectral risk measures, which are coherent risk measures that reflect a user’s risk-aversion function. It compares these to more familiar VaR and Expected Shortfall (ES) measures of risk, and also compares the precision and discusses the relative usefulness of each of these risk measures in setting variation margins that incorporate time-varying market conditions. The goodness of fit of the model is confirmed by a variety of backtests.University College Dublin. School of Busines
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we...
Accurate forecasting of risk is the key to successful risk management techniques. Using the largest ...
Financial risk model validation is a key part of the internal model-based approach to market risk ma...
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the retu...
Provided by the author(s) and University College Dublin Library in accordance with publisher policie...
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of t...
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of th...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
This paper investigates Lévy spectral risk measures (SRM) as a coherent alternative to generalized P...
Abstract: For any investor on stock market it is very important to predict possible loss, depending ...
In this thesis we define risk measures as a way of quantifying the risk of an invest- ment and we fo...
Given the growing need for managing financial risk, risk model validation plays an increasing role i...
This study, using gold coin spot price returns, in the period from 2008 to 2016, estimates and compa...
The theme of this dissertation is the risk and return modeling of financial time series. The dissert...
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we...
Accurate forecasting of risk is the key to successful risk management techniques. Using the largest ...
Financial risk model validation is a key part of the internal model-based approach to market risk ma...
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the retu...
Provided by the author(s) and University College Dublin Library in accordance with publisher policie...
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of t...
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of th...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
This paper investigates Lévy spectral risk measures (SRM) as a coherent alternative to generalized P...
Abstract: For any investor on stock market it is very important to predict possible loss, depending ...
In this thesis we define risk measures as a way of quantifying the risk of an invest- ment and we fo...
Given the growing need for managing financial risk, risk model validation plays an increasing role i...
This study, using gold coin spot price returns, in the period from 2008 to 2016, estimates and compa...
The theme of this dissertation is the risk and return modeling of financial time series. The dissert...
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we...
Accurate forecasting of risk is the key to successful risk management techniques. Using the largest ...
Financial risk model validation is a key part of the internal model-based approach to market risk ma...