A New Set Of Improved Value At Risk Backtests
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A New Set Of Improved Value At Risk Backtests
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Author :
language : en
Publisher:
Release Date : 2013
A New Set Of Improved Value At Risk Backtests written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
A New Set Of Improved Value At Risk Backtests
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2013
A New Set Of Improved Value At Risk Backtests written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Implementing Value At Risk
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Author : Philip Best
language : en
Publisher: John Wiley & Sons
Release Date : 2000-11-21
Implementing Value At Risk written by Philip Best and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-11-21 with Business & Economics categories.
Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understand the value VAR can add to a bank's understanding and control of its risks. This book aims to explain how VAR can be used as an integral part of a risk and business management framework, rather than as a stand-alone tool. The objectives of this book are to explain: What VAR is - and isn't! How to calculate VAR - the three main methods Why stress testing is needed to complement VAR How to make stress testing effective How to use VAR and stress testing to manage risk How to use VAR to improve a bank's performance VAR as a regulatory measure of risk and capital Risk management practitioners, general bank managers, consultants and students of finance and risk management will find this book, and the software package included, an invaluable addition to their library. Finance/Investment
Improved Duration Based Backtesting Of Value At Risk
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Author : Markus Haas
language : en
Publisher:
Release Date : 2008
Improved Duration Based Backtesting Of Value At Risk written by Markus Haas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Backtesting value-at-risk forecasts is an important issue. A duration-based approach has recently been proposed by Christoffersen and Pelletier (2004). Their method is very appealing because it allows one to test for both correct conditional and unconditional coverage against quite general alternatives, thus generalizing earlier approaches. Despite the discrete nature of the problem, the authors used the continuous Weibull distribution in their implementation of the method. In this paper, we employ the discrete counterpart of this model instead. We argue that the discrete approach has two advantages. First, the parameters involved have a clear-cut interpretation in risk management terms. Moreover, and more importantly, simulations indicate that the discrete model has superior power properties to the continuous candidate. As the discrete Weibull distribution is not well known in the risk management literature, its properties relevant to backtesting are also briefly discussed.
Backtesting Value At Risk And Expected Shortfall
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Author : Simona Roccioletti
language : en
Publisher: Springer
Release Date : 2015-12-04
Backtesting Value At Risk And Expected Shortfall written by Simona Roccioletti and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-04 with Business & Economics categories.
In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes.
Backtesting Value At Risk Based On Different Volatility Forecasts
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Author : Yi Sun
language : en
Publisher:
Release Date : 2013
Backtesting Value At Risk Based On Different Volatility Forecasts written by Yi Sun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Extreme Values And Financial Risk
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Author : Saralees Nadarajah
language : en
Publisher: MDPI
Release Date : 2019-01-15
Extreme Values And Financial Risk written by Saralees Nadarajah and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-15 with Business categories.
This book is a printed edition of the Special Issue "Extreme Values and Financial Risk" that was published in JRFM
Backtesting Value At Risk
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Author : Peter Christoffersen
language : en
Publisher:
Release Date : 2010
Backtesting Value At Risk written by Peter Christoffersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Financial risk model evaluation or backtesting is a key part of the internal model`s approach to market risk management as laid out by the Basle Committee on Banking Supervision. However, existing backtesting methods have relatively low power in realistic small sample settings. Our contribution is the exploration of new tools for backtesting based on the duration of days between the violations of the Value-at-Risk. Our Monte Carlo results show that in realistic situations, the new duration-based tests have considerably better power properties than the previously suggested tests.
Contemporary Trends And Challenges In Finance
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Author : Krzysztof Jajuga
language : en
Publisher: Springer Nature
Release Date : 2020-05-06
Contemporary Trends And Challenges In Finance written by Krzysztof Jajuga and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-05-06 with Business & Economics categories.
This volume features a selection of contributions presented at the 2019 Wroclaw Conference in Finance, covering a wide range of topics in finance and financial economics, e.g. financial markets; monetary policy; corporate, personal and public finance; and risk management and insurance. Reflecting the diversity and richness of research in the field, the papers discuss both fundamental and applied finance, and offer a detailed analysis of current financial-market problems, including specifics of the Polish and Central European markets. They also examine the results of advanced financial modeling. Accordingly, the proceedings offer a valuable resource for researchers at universities and policy institutions, as well as graduate students and practitioners in economics and finance at both private and government organizations.
Robust Backtesting Tests For Value At Risk Models
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Author : Juan Carlos Escanciano
language : en
Publisher:
Release Date : 2009
Robust Backtesting Tests For Value At Risk Models written by Juan Carlos Escanciano and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Backtesting methods are statistical tests designed to uncover excessive risk-taking from financial institutions. We show in this paper that these methods are subject to the presence of model risk produced by a wrong specification of the conditional VaR model, and derive its effect on the asymptotic distribution of the relevant out-of-sample tests. We also show that in the absence of estimation risk, the unconditional backtest is affected by model misspecification but the independence test is not. Our solution for the general case consists on proposing robust subsampling techniques to approximate the true sampling distribution of these tests. We carry out a Monte Carlo study to see the importance of these effects in finite samples for location-scale models that are wrongly specified but correct on average. An application to Dow-Jones Index shows the impact of correcting for model risk on backtesting procedures for different dynamic VaR models measuring risk exposure.