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Date: 2-28-2019 Initiator: BarrySchachter
Value-at-Risk and Asset Allocation with Stable Return DistributionsThe paper reviews recent empirical evidenceon the implications distributional assumptions can have on financial decision making. Specifically, we compare the empirical validity of decisions on risk as...
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Date: 2-28-2019 Initiator: BarrySchachter
Handbook of Financial Data and Risk InformationRisk has always been central to finance, and managing risk depends critically on information. As evidenced by recent events, the need has never been greater for skills, systems and methodologies to ma...
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Date: 2-28-2019 Initiator: BarrySchachter
Evaluating Risk Models with Likelihood Ratio Tests: Use With Care!Most modern approaches to measure and control the risks of financial portfolios are either directly or indirectly based on density forecasts. Tools to evaluate the quality of such forecasts are theref...
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Date: 2-28-2019 Initiator: BarrySchachter
Improved Risk Estimation in Multifractal Records: Application to the Value at Risk in FinanceWe suggest a risk estimation method for financial records that is based on the statistics of return intervals between events above/below a certain threshold Q and is particularly suited for multifract...
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Date: 2-28-2019 Initiator: BarrySchachter
Drawdown Measure in Portfolio OptimizationA new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater)curve considered in active...
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Date: 2-28-2019 Initiator: BarrySchachter
Filtering Historical Simulation: Backtest AnalysisIn this paper we backtest the FHS VaR model on three types of portfolios invested over a period of two years. The first set of backtests consists of LIFFE financial futures and options contracts trade...
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Date: 2-28-2019 Initiator: BarrySchachter
Modelling daily Value at Risk using realized volatility and ARCH type modelsIn this paper, we compare the performance of a daily ARCH type model (which uses daily returns) with the performance of a model based on the daily realized volatility (which uses intraday returns) whe...
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Date: 2-27-2019 Initiator: BarrySchachter
Introduction to Applied Stress TestingStress testing is a useful and increasingly popular, yet sometimes misunderstood, method ofanalyzing the resilience of financial systems to adverse events. This paper aims to helpdemystify stress test...
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Date: 2-23-2019 Initiator: BarrySchachter
Financial Models with Levy Processes and Volatility ClusteringProvides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They ...
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Date: 2-22-2019 Initiator: BarrySchachter
Change analysis of dynamic copula for measuring dependence in multivariate financial dataMost of the data both in finance and insurance almost always covers a reasonably long period relatively to the provided time horizon, then one may expect that economic factors induced changes in their...
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Date: 2-21-2019 Initiator: BarrySchachter
A Potential Influenza Pandemic: Possible Macroeconomic Effects and Policy IssuesThis paper focuses on the potential for, and possible economic effects of, a pandemicof avian flu—although many of the policy issues that avian flu raises apply also topandemics of other types of infl...
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Date: 2-20-2019 Initiator: BarrySchachter
Granularity Adjustment in Dynamic Multiple Factor Models: Systematic vs Unsystematic RisksThe granularity principle [Gordy (2003)] allows for closed form expressions of the risk measures of a large portfolio at order 1=n, where n is the portfolio size. The granularity principle yields a de...
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Date: 2-20-2019 Initiator: BarrySchachter
Multistage Portfolio Optimization with VaR as Risk MeasureMultistage portfolio optimization models are difficult to solve when market risk is measured by Value-at-Risk (VaR), this paper proposes a soft method for solving VaR-based portfolio optimization mode...
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Date: 2-17-2019 Initiator: BarrySchachter
A Note on Optimal Estimation from a Risk Management Perspective Under Possibly Mis-specified Tail BeMany financial time-series show leptokurtic behavior, i.e., fat tails. Such tail behavior is important for risk management. In this paper I focus on the calculation of Value-at-Risk (VaR) as a downsid...
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Date: 2-13-2019 Initiator: BarrySchachter
Risk Analysis in Finance and InsuranceDevelopment of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics. Risk Analysis in Finance and Insurance offers the first comprehensive yet ...
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