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Date: 8-23-2014 Initiator: BarrySchachter
Risk Topography: Systemic Risk and Macro ModelingContributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate...
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Date: 8-22-2014 Initiator: BarrySchachter
Risk Measurement and Management of Operational Risk in Insurance Companies from an Enterprise PerspectiveOperational risk can substantially impact an insurer's risk situation and is now increasingly in the focus of insurance companies, especially due to new European risk?based regulatory framework So...
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Date: 8-20-2014 Initiator: BarrySchachter
Learning Model for Assessing Loss Severity of Operational RiskRisks, deficiencies and other issues identified within the organization should be evaluated and assessed with regard to their severity and significance. Operational risk is one of the risk categories ...
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Date: 8-20-2014 Initiator: BarrySchachter
Robust Conditional Variance and Value-at-Risk EstimationThis article is concerned with robust conditional variance and value-at-risk (VaR) estimation. Losses due to idiosyncratic events can have a disproportionate impact on traditional VaR estimates, upwar...
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Date: 8-20-2014 Initiator: BarrySchachter
Two-Step Methods in VaR Prediction and the Importance of Fat TailsThis paper proposes a two-step methodology for Value-at-Risk prediction. The first step involves estimation of a GARCH model using quasi-maximum likelihood estimation and the second step uses model fi...
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Date: 8-17-2014 Initiator: BarrySchachter
Bayesian Expected Shortfall Forecasting Incorporating the Intraday RangeThe conditional autoregressive expectile class of model, used to implicitly model ES, is generalized to incorporate information on the intraday range. An asymmetric Gaussian density model error formul...
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Date: 8-17-2014 Initiator: BarrySchachter
Multivariate Modelling of 10-Day-Ahead VaR and Dynamic Correlation for Worldwide Real Estate and Stock IndicesA 14-dimensional multivariate Diag-VECH model for seven equity indices and their relative real estate indices is estimated. The authors evaluate the VaR forecasts over a period of two weeks in calenda...
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Date: 8-17-2014 Initiator: BarrySchachter
“Spectral Risk Measures: Properties and Limitations”: Comment on Dowd, Cotter, and SorwarIn their paper “Spectral Risk Measures: Properties and Limitations”, Dowd et al. (J Financ Serv Res 341:61–75, 2008) introduce exponential and power spectral risk measures as subclasses of spectral ri...
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Date: 8-17-2014 Initiator: BarrySchachter
Accelerated Portfolio Optimization with Conditional Value-at-Risk Constraints using a Cutting-Plane MethodFinancial portfolios are often optimized for maximum profit while subject to a constraint formulated in terms of the Conditional Value-at-Risk (CVaR). This amounts to solving a linear problem. However...
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Date: 8-17-2014 Initiator: BarrySchachter
On the Time Scaling of Value-at-Risk with TradingUsing stock data that covers the period from April 6, 2001 to June 17, 2009, including data from the recent financial crisis period, we compare theVaR profiles of four different stylized daily trading...
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Date: 8-17-2014 Initiator: BarrySchachter
Value-at-Risk Time Scaling for Long-Term Risk EstimationBesides the standard square-root-of-time scaling, based on normality assumptions, we consider two leptokurtic probability density function classes for fitting empirical P&L datasets and derive accurat...
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Date: 8-12-2014 Initiator: BarrySchachter
Kusuoka Representations of Coherent Risk Measures in General Probability SpacesKusuoka representations provide an important and useful characterization of law invariant coherent risk measures in atomless probability spaces. However, the applicability of these results is limited ...
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Date: 8-12-2014 Initiator: BarrySchachter
Measuring the Risk of a Non-Linear Portfolio with Fat-Tailed Risk Factors through a Probability Conserving TransformationThis paper presents a new heuristic for fast approximation of VaR (Value-at-Risk) and CVaR (conditional Value-at-Risk) for financial portfolios, where the net worth of a portfolio is a non-linear func...
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Date: 8-12-2014 Initiator: BarrySchachter
Superquantile/CVaR Risk Measures: Second-Order TheorySuperquantile risk, also known as conditional value-at-risk (CVaR), is widely used as a coherent measure of risk due to its improved properties over those of quantile risk (value-at-risk). In this pap...
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Date: 8-12-2014 Initiator: BarrySchachter
Efficient Estimation of Extreme Value-at-Risks for Standalone Structural Exchange Rate RiskThe intuition of the proposed method is that, conditional on either the future foreign currency earning or the change in the exchange rate, the distribution of the structural exchange rate risk is usu...
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