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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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Date: 8-12-2014 Initiator: BarrySchachter
Upper Bounds on Value-at-Risk for the Maximum Portfolio LossExtremal dependence of the losses in a portfolio is one of the most important features that should be accounted for when estimating Value-at-Risk (VaR) at high levels. Multivariate extreme value theor...
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Date: 8-12-2014 Initiator: BarrySchachter
Comprehensive Risk Measure - Current ChallengesThere are three measures introduced by the Basel Committee to serve as capital charges for market risk: incremental risk charge; stressed value at risk and CRM. All of these regulatory-driven measures...
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Date: 8-5-2014 Initiator: vp382552gmail.com
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Date: 8-3-2014 Initiator: BarrySchachter
Managing Risk with a Realized Copula ParameterA dynamic copula model is introduced, in which the copula structure is inferred from the realized covariance matrix estimated from within-day high-frequency data. The estimation is carried out in a me...
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Date: 8-2-2014 Initiator: BarrySchachter
Estimating Liquidity Risk Using the Exposure-Based Cash-Flow-at-Risk Approach: An Application to the UK Banking SectorThis paper uses a relatively new quantitative model for estimating UK banks' liquidity risk. The model is called the exposure-based cash-flow-at-risk (CFaR) model, which not only measures a bank&#...
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Date: 8-1-2014 Initiator: silviakgmail.com
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Date: 7-31-2014 Initiator: BarrySchachter
GlueVaR Risk Measures in Capital Allocation ApplicationsGlueVaR risk measures defined by Belles-Sampera et al. (2014) generalize the traditional quantile-based approach to risk measurement, while a subfamily of these risk measures has been shown to satisfy...
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Date: 7-31-2014 Initiator: BarrySchachter
Score Driven Exponentially Weighted Moving Average and Value-at-Risk ForecastingWe present a simple new methodology to allow for time-variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. It exploits the link between exponential...
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Date: 7-31-2014 Initiator: BarrySchachter
Modelling and Forecasting Value at Risk and Expected Shortfall for GCC Stock Markets: Do Long Memory, Structural Breaks, Asymmetry, and Fat Tails MatterEmpirically, we test the occurrence of structural breaks in the GCC return data using the Inclan and Tiao (1994)’s algorithm and we check the relevance of LM using Shimotsu (2006) procedure before est...
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Date: 7-31-2014 Initiator: BarrySchachter
Financial Institutions Externalities and Systemic Risk: Tales of Tail SymmetryA bank should create as much risk and the bank is undertaken. Any unbalance in the distribution of pro?t and losses is a sign of banks failure to internalise its externalities. In this proposition we ...
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