Multinomial Var Backtests
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Multinomial Var Backtests
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Author : Marie Kratz
language : en
Publisher:
Release Date : 2017
Multinomial Var Backtests written by Marie Kratz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that backtesting of expected shortfall-or the trading book model from which it is calculated-can be based on a simultaneous multinomial test of value-at-risk (VaR) exceptions at different levels, an idea supported by an approximation of ES in terms of multiple quantiles of a distribution proposed in Emmer et al. (2015). By comparing Pearson, Nass and likelihood-ratio tests (LRTs) for different numbers of VaR levels N it is shown in a series of simulation experiments that multinomial tests with N ≥ 4 are much more powerful at detecting misspecifications of trading book loss models than standard bi-nomial exception tests corresponding to the case N = 1. Each test has its merits: Pearson offers simplicity; Nass is robust in its size properties to the choice of N ; the LRT is very powerful though slightly over-sized in small samples and more computationally burdensome. A traffic-light system for trading book models based on the multinomial test is proposed and the recommended procedure is applied to a real-data example spanning the 2008 financial crisis.
Risk Assessment And Financial Regulation In Emerging Markets Banking
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Author : Alexander M. Karminsky
language : en
Publisher: Springer Nature
Release Date : 2021-05-11
Risk Assessment And Financial Regulation In Emerging Markets Banking written by Alexander M. Karminsky and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-11 with Business & Economics categories.
This book describes various approaches in modelling financial risks and compiling ratings. Focusing on emerging markets, it illustrates how risk assessment is performed and analyses the use of machine learning methods for financial risk assessment and measurement. It not only offers readers insights into the differences between emerging and developed markets, but also helps them understand the development of risk management approaches for banks. Highlighting current problems connected with the evaluation and modelling of financial risks in the banking sector of emerging markets, the book presents the methodologies applied to credit and market financial risks and integrated and payment risks, and discusses the outcomes. In addition it explores the systemic risks and innovations in banking and risk management by analyzing the features of risk measurement in emerging countries. Lastly, it demonstrates the aggregation of approaches to financial risk for emerging financial markets, comparing the experiences of various countries, including Russia, Belarus, China and Brazil.
Peter Carr Gedenkschrift Research Advances In Mathematical Finance
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Author : Robert A Jarrow
language : en
Publisher: World Scientific
Release Date : 2023-11-10
Peter Carr Gedenkschrift Research Advances In Mathematical Finance written by Robert A Jarrow and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-11-10 with Business & Economics categories.
This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.
The Importance Of Being Informed Forecasting Market Risk Measures For The Russian Rts Index Future Using Online Data And Implied Volatility Over Two Decades
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Author : Dean Fantazzini
language : en
Publisher: Litres
Release Date : 2022-01-29
The Importance Of Being Informed Forecasting Market Risk Measures For The Russian Rts Index Future Using Online Data And Implied Volatility Over Two Decades written by Dean Fantazzini and has been published by Litres this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-29 with Computers categories.
This paper focuses on the forecasting of market risk measures for the Russian RTS index future, and examines whether augmenting a large class of volatility models with implied volatility and Google Trends data improves the quality of the estimated risk measures. We considered a time sample of daily data from 2006 till 2019, which includes several episodes of large-scale turbulence in the Russian future market. We found that the predictive power of several models did not increase if these two variables were added, but actually decreased.The worst results were obtained when these two variables were added jointly and during periods of high volatility, when parameters estimates became very unstable. Moreover, several models augmented with these variables did not reach numerical convergence. Our empirical evidence shows that, in the case of Russian future markets, TGARCH models with implied volatility and Student’s t errors are better choices if robust market risk measures are of concern.
Advances In Pacific Basin Business Economics And Finance
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Author : Cheng-Few Lee
language : en
Publisher: Emerald Group Publishing
Release Date : 2020-09-09
Advances In Pacific Basin Business Economics And Finance written by Cheng-Few Lee and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-09-09 with Business & Economics categories.
Advances in Pacific Basin Business, Economics, and Finance is an annual publication designed to focus on interdisciplinary research in finance, economics, accounting and management among Pacific Rim countries.
2017 Matrix Annals
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Author : Jan de Gier
language : en
Publisher: Springer
Release Date : 2019-03-13
2017 Matrix Annals written by Jan de Gier and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-13 with Mathematics categories.
MATRIX is Australia’s international and residential mathematical research institute. It facilitates new collaborations and mathematical advances through intensive residential research programs, each 1-4 weeks in duration. This book is a scientific record of the eight programs held at MATRIX in its second year, 2017: - Hypergeometric Motives and Calabi–Yau Differential Equations - Computational Inverse Problems - Integrability in Low-Dimensional Quantum Systems - Elliptic Partial Differential Equations of Second Order: Celebrating 40 Years of Gilbarg and Trudinger’s Book - Combinatorics, Statistical Mechanics, and Conformal Field Theory - Mathematics of Risk - Tutte Centenary Retreat - Geometric R-Matrices: from Geometry to Probability The articles are grouped into peer-reviewed contributions and other contributions. The peer-reviewed articles present original results or reviews on a topic related to the MATRIX program; the remaining contributions are predominantly lecture notes or short articles based on talks or activities at MATRIX.
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.
Risk Measurement Econometrics And Neural Networks
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Author : Georg Bol
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Risk Measurement Econometrics And Neural Networks written by Georg Bol and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
This book comprises the articles of the 6th Econometric Workshop in Karlsruhe, Germany. In the first part approaches from traditional econometrics and innovative methods from machine learning such as neural nets are applied to financial issues. Neural Networks are successfully applied to different areas such as debtor analysis, forecasting and corporate finance. In the second part various aspects from Value-at-Risk are discussed. The proceedings describe the legal framework, review the basics and discuss new approaches such as shortfall measures and credit risk.
Banking Im Wandel
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Author : Prof.Dr. Konrad Wimmer
language : de
Publisher: tolino media GmbH
Release Date : 2022-07-28
Banking Im Wandel written by Prof.Dr. Konrad Wimmer and has been published by tolino media GmbH this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-07-28 with Business & Economics categories.
Das Buch "Banksteuerung und Geschäftsmodelle im Fokus“ spannt einen weiten thematischen Bogen, der die historischen Entwicklungen, den Status quo und mögliche Zukunftsperspektiven aufzeigt. Die Autoren decken dabei wissenschaftliche wie bankpraktische Fragestellungen ab. Teil 1 widmet sich der Banksteuerung. Die ersten drei Beiträge skizzieren die Entwicklungspfade der Bankkalkulation. Danach folgen Beiträge zu Lösungen und offenen Fragen im Risikomanagement der Banken. Wimmer/Alfes beschäftigen sich mit dem Zinsänderungsrisiko im Anlagebuch. Dürr/Vorgrimler greifen mit dem Kreditrisikomanagement ein methodisch anspruchsvolles Steuerungsfeld auf, bei dem die Messmethodik eine zentrale Rolle spielt. Endmann muss bei seinem Thema Liquiditäts(risiko)management gar nicht so weit zurückblicken, da diese Risikoart erst im Zuge der letzten Finanzkrise (wieder-)entdeckt wurde. Wimmer/Mach beleuchten die handelsrechtliche Risikovorsorge, die vom IDW (RS BFA 7) neu konzipiert wurde und die wie das Impairmentkonzept gemäß IFRS 9 auf dem Expected-Loss-Modell basiert. Mach belegt in seinem zweiten Beitrag, dass künstliche Intelligenz und Predictive Analytics mehr als nur Schlagworte sind, und sich damit die Vertriebserfolge deutlich steigern lassen. Wimmer/Ender/Sedlbauer/Ilg verbinden ökonomische und ökologische Expertise. Sie zeigen, dass die Bewertung von Investitionsobjekten ökologische und ökonomische Faktoren intelligent verknüpfen muss. Schlottmann/Wimmer stellen die paretoorientierte Banksteuerung vor. Dietz macht deutlich, dass sich auch die bankgeschäftlichen Prüfungen im Laufe der Zeit erheblich ändern. Teil 2: Penzel wagt einen Blick darauf, wie sich die Geschäftsmodelle der Banken 2030 in der Nach-Corona-Zeit darstellen könnten. Stenner untersucht die Zukunftsperspektive der Autobanken, die bislang mit einem hochprofitablen Geschäftsmodell glänzen konnten. Wimmer beschreibt unter Sustainable Banking die anstehenden Aufgaben der Banken bei der Transformation der Volkswirtschaft zu mehr Nachhaltigkeit. Jorberg stellt mit der Ökobank ein Geschäftsmodell vor, das die Nachhaltigkeit in den Mittelpunkt des Marktauftritts stellt. Nenninger weist Payments die Rolle eines Beschleunigers der Digitalisierung zu. Gothein/Willkomm beschreiben Platform Driven Ecosystems, die zu einem technisch getriebenen Paradigmenwechsel in der Banksteuerung führen. Heilmann/Steinmann blicken auf die Digitalisierung der Bankprozesse als Voraussetzung neuer Wertschöpfungsmodelle.
Handbook Of Modeling High Frequency Data In Finance
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Author : Frederi G. Viens
language : en
Publisher: John Wiley & Sons
Release Date : 2011-11-16
Handbook Of Modeling High Frequency Data In Finance written by Frederi G. Viens 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 2011-11-16 with Business & Economics categories.
CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.