Var Methodology For Non Gaussian Finance

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Var Methodology For Non Gaussian Finance

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Author : Marine Habart-Corlosquet
language : en
Publisher: John Wiley & Sons
Release Date : 2013-05-06

Var Methodology For Non Gaussian Finance written by Marine Habart-Corlosquet 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 2013-05-06 with Business & Economics categories.

With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) – one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models. Contents 1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III. 2. Classical Value-at-Risk (VaR) Methods. 3. VaR Extensions from Gaussian Finance to Non-Gaussian Finance. 4. New VaR Methods of Non-Gaussian Finance. 5. Non-Gaussian Finance: Semi-Markov Models.

Financial Modeling Under Non Gaussian Distributions

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Author : Eric Jondeau
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-04-05

Financial Modeling Under Non Gaussian Distributions written by Eric Jondeau 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 2007-04-05 with Mathematics categories.

This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.

Mastering Value At Risk

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Author : Cormac Butler
language : en
Publisher: Financial Times/Prentice Hall
Release Date : 1999

Mastering Value At Risk written by Cormac Butler and has been published by Financial Times/Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.

Value at Risk (VAR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. This book provides an objective view of VAR, analyzing its pitfalls and benefits.

Financial Models With Levy Processes And Volatility Clustering

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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2011-02-08

Financial Models With Levy Processes And Volatility Clustering written by Svetlozar T. Rachev 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 2011-02-08 with Business & Economics categories.

An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides 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 also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.

Nonlinear Valuation And Non Gaussian Risks In Finance

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Author : Dilip B. Madan
language : en
Publisher: Cambridge University Press
Release Date : 2022-02-03

Nonlinear Valuation And Non Gaussian Risks In Finance written by Dilip B. Madan and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-03 with Mathematics categories.

Explore how market valuation must abandon linearity to deliver efficient resource allocation.

Report On Analysis Of The 260 Day Value At Risk Var Of Portfolio Of Shares

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Author : Calvin Monroe
language : en
Publisher: GRIN Verlag
Release Date : 2014-02-28

Report On Analysis Of The 260 Day Value At Risk Var Of Portfolio Of Shares written by Calvin Monroe and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-28 with Business & Economics categories.

Scientific Essay from the year 2012 in the subject Business economics - Investment and Finance, grade: B, King`s College London, language: English, abstract: For quite a long time now the main concern for investors as well as regulators of financial markets has been the risk of catastrophic market and the sufficiency of capital needed to counter such kind of risk when it occurs. Many institutions have undergone loses despite their gigantic nature and good forecasting and this has been associated with inappropriate forms of pricing and poor management together with the fraudulent cases, factors that have always brought the issue of managing risk and regulating these financial markets to the level of public policy as well as discussion. A basic tool that has been identified as being effective in the assessment of financial risk is the Value at Risk (VaR) process (Artzner, et al., 1997). The VaR has been figured out as being an amount that is lost on a given form of portfolio including a small probability in a certain fixed period of time counted in terms of days. VaR however poses a major challenge during its implementation and this has more to do with the specification of the kind of probability distribution having extreme returns that is made use of during the calculation of the estimates used in the VaR analysis (Mahoney, 1996; McNeil & Frey, 2000; Dowd, 2001). As has been noted, the nature of VaR estimation majorly does depend on the accurate predictions of some uncommon events or risks that are catastrophic. This is attributed to the fact that VaR is a calculation made from the lowest portfolio returns. For this reason, any form of calculation that is employed in the estimation of VaR must be able to encompass the tail events’ prediction and make this its primary goal (Chiang, et al., 2007; Engle, 2002; Engle & Kroner, 1995; Engle & Rothschild, 1990; Francis, et al., 2001). There have been statistical techniques as well as thumb rules that many researchers argue as having been very instrumental in the prediction and analysis of intra-day and in most cases day-to-day risk. These are however; not appropriate for the analysis of VaR. The predictions of VaR now fall under parametric predictions that encompass conditional volatilities and non-parametric prediction that incorporate the unconditional volatilities (Jorion, 2006; Jorion, 2007).

Fat Tailed And Skewed Asset Return Distributions

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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2005-09-15

Fat Tailed And Skewed Asset Return Distributions written by Svetlozar T. Rachev 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 2005-09-15 with Business & Economics categories.

While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.

Problems Of Value At Risk A Critical View

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Author : Alexander Melichar
language : en
Publisher: GRIN Verlag
Release Date : 2010-11-26

Problems Of Value At Risk A Critical View written by Alexander Melichar and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-26 with Business & Economics categories.

Seminar paper from the year 2009 in the subject Business economics - Controlling, grade: 1,5, University of Innsbruck (Institut für Banken und Finanzen), course: Seminar SBWL Risk Management, language: English, abstract: This seminar paper is divided in the following chapters: 1. Definition of Value at Risk: What is VaR, several definitions of this figure. 2. The three common approaches for calculating Value at Risk: Historical simulation, Monte Carlo simulation, Variance-Covariance model. 3. The critical view: Problems and limitations of Value at Risk. Which approach can be meaningfully used and when not? Why is Value at Risk not the “only truth” in financial institutions? What are the strengths and weaknesses of the several approaches in calculating Value at Risk?

Implementing A Non Gaussian Quantitative Model For Improving The Accuracy Of Risk Modeling And For Efficient Portfolio Construction

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Author : sujoy bhattacharya
language : en
Publisher:
Release Date : 2022

Implementing A Non Gaussian Quantitative Model For Improving The Accuracy Of Risk Modeling And For Efficient Portfolio Construction written by sujoy bhattacharya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.

AbstractPurpose- The research aims to propose a scalable multivariate non-Gaussian model for VaR and volatility estimation and analyze its efficiency(in appropriately taking into account fat tails, and asymmetry for VaR estimation) as compared to traditional Gaussian approaches used for VaR estimation and portfolio construction. Financial distributions generally tend to portray asymmetry, fat tails or a mixture of distributions, which are captured by the discussed model that involves incorporating the Pareto distribution, skewed- t distributionThe study also intends to demonstrate that this results in portfolios that are having more utility. (Utility: How much excess return was generated for each unit of risk taken by the portfolio and also generating a portfolio with higher economic growth)alternative approaches including mean-variance. The utility can be leveraged by efficiently selecting(maximizing the utility defined above) the portfolio assets and their weights. This research also investigates the correlation across stock market indices of 6 Asia-Pacific countries and uses VaR and variance as the risk measures for the analysis.Findings-The authors successfully concluded that the model proposed in the paper estimates VaR more accurately than the traditional model. Also, our proposed model tends to outperform the literature model in portfolio construction by producing asset weights more efficiently.Design/Methodology/Approach- This research uses a GSEV strategy that comprises a univariate EGARCH approach for calculating stochastic volatility and the leverage effect. The Generalized Pareto distribution captures asymmetry and heavy tails in the GARCH residuals (GPD). The skewed-t copula is used to describe asymmetric tail dependence. Originality/value- The value added is to depict how the non-Gaussian model proposed by the authors includes the exponential GARCH (EGARCH) technique, Generalized Pareto distribution, skewed-t copula, and mixed distributions consideration gives VaR prediction and portfolio asset weights values more accurately than the traditional model.

The Var Modeling Handbook Practical Applications In Alternative Investing Banking Insurance And Portfolio Management

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Author : Greg N. Gregoriou
language : en
Publisher: McGraw Hill Professional
Release Date : 2010-02-22

The Var Modeling Handbook Practical Applications In Alternative Investing Banking Insurance And Portfolio Management written by Greg N. Gregoriou and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-22 with Business & Economics categories.

Value-at-Risk (VaR) is a powerful tool for assessing market risk in real time—a critical insight when making trading and hedging decisions. The VaR Modeling Handbook is the most complete, up-to-date reference on the subject for today’s savvy investors, traders, portfolio managers, and other asset and risk managers. Unlike market risk metrics such as the Greeks, or beta, which are applicable to only certain asset categories and sources of market risk, VaR is applicable to all liquid assets, making it a reliable indicator of total market risk. For this reason, among many others, VaR has become the dominant method for estimating precisely how much money is at risk each day in the financial markets. The VaR Modeling Handbook is a profound volume that delivers practical information on measuring and modeling risk specifically focused on alternative investments, banking, and the insurance sector. The perfect primer to The VaR Implementation Handbook (McGraw- Hill), this foundational resource features The experience of 40 internationally recognized experts Useful perspectives from a wide range of practitioners, researchers, and academics Coverage on applying VaR to hedge fund strategies, microcredit loan portfolios, and economic capital management approaches for insurance companies Each illuminating chapter in The VaR Modeling Handbook presents a specific topic, complete with an abstract and conclusion for quick reference, as well as numerous illustrations that exemplify covered material. Practitioners can gain in-depth, cornerstone knowledge of VaR by reading the handbook cover to cover or take advantage of its user-friendly format by using it as a go-to resource in the real world. Financial success in the markets requires confident decision making, and The VaR Modeling Handbook gives you the knowledge you need to use this state-of-the-art modeling method to successfully manage financial risk.