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Displaying results 1 to 12 of 12.

  1. "Moment‐based tests under parameter uncertainty"
    Author: Bontemps, Christian
    Published: [2018]
    Publisher:  IDEI, Institut d'économie industrielle, [Toulouse]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / IDEI, Institut d'économie industrielle ; no IDEI-883 (March 2018)
    Subjects: moment-based tests; parameter uncertainty; out-of-sample; discrete distributions; value-at-risk; backtesting
    Scope: 1 Online-Ressource (circa 62 Seiten)
  2. HRP performance comparison in portfolio optimization under various codependence and distance metrics
    Author: Barziy, Illya; Chlebus, Marcin
    Published: 2020
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 427
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Faculty of Economic Sciences, University of Warsaw ; no. 2020, 21 = 327
    Subjects: Hierarchical Risk Parity; portfolio optimization; ETF; hierarchical structure; clustering; backtesting; distance metrics; risk management; machine learning
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  3. The new international regulation of market risk
    roles of VaR and CVaR in model validation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: [2021]
    Publisher:  [Canada Research Chair in Risk Management], [Montréal]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 631
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Working papers] / [Canada Research Chair in Risk Management] ; [21, 1]
    Subjects: Basel III; VaR; CVaR; Expected Shortfall; backtesting; parametric model; nonparametric model; mixture of distributions; fat-tail distribution
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  4. The new international regulation of market risk: roles of VaR and CVaR in model validation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: January 2021
    Publisher:  Bureau de Montreal, Université de Montreal, Montréal (Québec)

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CIRRELT ; CIRRELT-2021, 04
    Subjects: Basel III; VaR; CVaR; Expected Shortfall; backtesting; parametric model; non-parametric model; mixture of distributions; fat-tail distribution
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  5. Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: [2023]
    Publisher:  [Canada Research Chair in Risk Management], [Montréal]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 631
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Working papers] / [Canada Research Chair in Risk Management] ; [23, 2]
    Subjects: Conditional forecasting; VaR; CVaR; backtesting; Basel regulation for market risk; heavy tailed distributions
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  6. Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: March 2023
    Publisher:  Bureau de Montreal, Université de Montreal, Montréal (Québec)

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    ZSS 18
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CIRRELT ; CIRRELT-2023, 13
    Subjects: Conditional forecasting; VaR; CVaR; backtesting; Basel regulation for market risk; heavy tailed distributions
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  7. Evaluating credit risk models
    a critique and a proposal
    Author: Frerichs, Hergen; Löffler, Gunter
    Published: 2001
    Publisher:  Univ., Fachbereich Wirtschaftswiss., Frankfurt am Main

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    DDC Categories: 330; 380; 650; 670
    Edition: [2.] version
    Series: Working paper series / Johann Wolfgang Goethe-Universität Frankfurt, Fachbereich Wirtschaftswissenschaften : [...], Finance & accounting ; No. 84
    Subjects: Kreditrisiko; Portfolio Selection; Statistischer Test; Theorie; Kreditrisiko; Portfoliomanagement; Gütefunktion; Parametertest; Signifikanzniveau; Statistischer Test; Testtheorie
    Other subjects: (stw)Kreditrisiko; (stw)Portfolio-Management; (stw)Statistischer Test; (stw)Theorie; credit risk; backtesting; model validation; bank regulation; density forecasts; Arbeitspapier; Graue Literatur
    Scope: 35 S., graph. Darst., 30 cm
  8. Estimation of risk measures in energy portfolios using modern copula techniques
    Author: Jäschke, Stefan
    Published: 2012
    Publisher:  Universitätsbibliothek Dortmund, Dortmund

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  9. Evaluating credit risk models: a critique and a new proposal
    Author: Frerichs, Hergen; Löffler, Gunter
    Published: 2001
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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  10. Backtesting Value-at-Risk and expected shortfall in the presence of estimation error
    Author: Barendse, Sander; Kole, Erik; Dijk, Dick van
    Published: [2019]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 432
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    We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk (VaR) and ES. We provide explicit expressions for the additional terms in the asymptotic covariance matrix that result from estimation error, and propose robust tests that account for it. Monte Carlo experiments show that the tests that ignore these terms suffer from size distortions, which are more pronounced for higher ratios of outof-sample to in-sample observations. Robust versions of the backtests perform well, although this also depends on the choice of conditioning variables. In an application to VaR and ES forecasts for daily FTSE 100 index returns as generated by AR-GARCH, AR-GJR-GARCH, and AR-HEAVY models, we find that estimation error substantially impacts the outcome of the backtests.

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/205348
    Series: Array ; TI 2019, 058
    Subjects: expected shortfall; backtesting; risk management; tail risk; Value-at-Risk
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  11. Model risk in backtesting risk measures
    Author: Evers, Corinna; Rohde, Johannes
    Published: 2014
    Publisher:  Leibniz Univ., Wirtschaftswiss. Fak., Hannover

    Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In this setting backtests often become infeasible due to a low number of violations leading to heavy size distortions. According to... more

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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 8 (529)
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    Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In this setting backtests often become infeasible due to a low number of violations leading to heavy size distortions. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting the asymptotic variance of the test statistics. In this paper, we analyze backtests based on hit and duration sequences in a univariate framework by running a simulation study in order to identify the problems of backtests that examine the adequacy of Value at Risk measures. One main finding indicates that backtests of all classes show heavy size distortions. These problems for the relevant Basel II set-up, however, cannot be alleviated by modifying backtests in a way that accounts for estimation risk or misspecification risk.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/96672
    Series: [Discussion paper / Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover ; 529]
    Subjects: Model risk; backtesting; Value at risk
    Scope: Online-Ressource (17 S.), graph. Darst.
  12. Evaluating VaR forecasts under stress the German experience
    Author: Jaschke, Stefan R.; Stahl, Gerhard; Stehle, Richard
    Published: 2003
    Publisher:  Center for Financial Studies, Frankfurt, Main

    We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (2003,32)
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    We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the individual banks, the regulator's portfolio as a whole, and the main ingredients of the computation of the regulatory capital required by the Basel rules.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/72644
    Series: CFS Working Paper ; 2003/32
    Subjects: banking supervision; VaR; exploratory data analysis; backtesting
    Scope: Online-Ressource (30 S.), graph. Darst.