quantile-based risk measures
Evaluating the Precision of Estimators of Quantile Based Risk Measures
... 1990s, risk managers have come to rely heavily on models that forecast the risks associated with financial ...different measures of financial risk: these include measures such as the VaR and ...
32
The use of flexible quantile-based measures in risk assessment [WP]
... the quantile-based risk measures should be ...of risk measurement corresponds to a conserva- tive attitude for the two types of approximations shown in Table ...
18
Applying Quantile Regression to Industry Default Risk in Europe
... extreme risk is becoming increasingly prevalent in the measurement of share market risk, particularly since the Global Financial Crisis, studies of extreme measures for credit risk are ...
10
Size is everything : explaining SIFI designations.
... systemic risk measures except for a strong significance at the 1% level of inter- connectedness on Δ ...the quantile regression with a positive coe ffi cient and thus increases the value of Δ CoVaR ...
40
CAS: Tail-Related Risk Measures of Extreme Value Distribution: The Case of Taiwan’s Rice Damage Due to Typhoons in the Non-Crops Insurance Plan
... tail quantile risk measures using EVT and estimate the expected annual aggregate rice losses using a collective risk ...the quantile risk measures, e.g., ...
16
Forecasting risk in earnings
... Conventional measures of risk in earnings based on historical standard deviation require long time series data and are inadequate when the distribution of earnings deviates from ...methodology ...
59
Firm Specific Risk and Return: Quantile Regression Application
... measure based on return’s SD is removed. This is not the case if measures based on factor models are ...FSR measures would help us to better explain the relationship between FSR and ...
18
Analytical Calculation of Risk Measures for Variable Annuity Guaranteed Benefits
... of risk measures for variable annuity guaranteed benefits on a stand-alone ...are based on the study of geometric Brownian motion and its ...market risk on the liability side and revenue ...
30
Aversion to Risk and Downside Risk in the Large and in the Small under Non Expected Utility: A Quantile Approach
... on quantile moments to evaluate risk exposure in each quantile 4 ...A quantile moment is a moment defined over a specific interval/quantile of the payoff distribu- ...of risk and ...
21
The importance of individual heterogeneity in the decomposition of measures of socioeconomic inequality in health: An approach based on quantile regression
... The data used in this paper are taken from the first wave (in 1994-1995) of the Canadian National Population Health Survey (NPHS). The target population of the NPHS includes household residents in all provinces, with the ...
26
Size is everything: Explaining SIFI designations
... systemic risk measures except for a strong significance at the 1% level of inter- connectedness on ...the quantile regression with a positive coefficient and thus increases the value of ∆CoVaR ...
40
Does mispricing, liquidity or third party certification contribute to IPO downside risk?
... of quantile regression ...downside risk using different liquidity measures and trading ...apply quantile regression methodology in their ...downside risk is robust to various ...
61
Bayesian robust quantile regression and risk measures
... in quantile regression we are able to increase robustness of the inference, in particular when outliers or extreme values are ...the quantile regression fitting, beside additional estimating ...moments ...
73
VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey
... other risk measure which is based on results below the mean) is that it is unaffected by a constant shift of the whole distribution (see also Atkinson (1970, ...this risk measure to economic ...
35
Quantile Based Estimation of Scale and Dependence
... for quantile regression coefficients particularly in small ...be based on complex asymp- totic arguments and little is known about their finite sample ...ponding quantile regression coefficient ...
200
A multivariate commodity analysis and applications to risk management
... the risk implied by the different distributions, the Normal distribution gives significantly smaller risk estimates than all other candidates, sometimes up to 30% ...resulting risk is much ...NIG- ...
40
Index insurance benefits agricultural producers exposed to excessive rainfall risk
... and quantile regression, which allows re- lationships with lower quantiles ...analysis, based on Conditional Tail Expectation (CTE), Certainty Equivalence of Revenue (CER) and Mean Root Square Loss (MRSL), ...
9
Modeling International Financial Returns with a Multivariate Regime Switching Copula
... In this paper, we provide further evidence on asymmetric dependence in international fi- nancial returns by estimating a regime-switching copula model for the dependence of the stock indices of the G5 and of four Latin ...
44
5357.pdf
... framework based on discounted dividend ...conditional quantile regressions and skewness ...conditional quantile estimators are consistent and asymptotically normalunder those simple assumptions for ...
80
CAViaR: Conditional Value at Risk by Quantile Regression
... at Risk has become the standard measure of market risk employed by financial institutions for both internal and regulatory ...at Risk as a quantile of future portfolio values conditional on ...
54