[PDF] Top 20 Extreme Risk, Value-At-Risk And Expected Shortfall In The Gold Market
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Extreme Risk, Value-At-Risk And Expected Shortfall In The Gold Market
... The implementation of VaR to identify appropriate regulatory capital requirement suffers from a number of setbacks, such as its inability to capture “tail loss”. Such drawbacks have recently been highlighted by the Basel ... See full document
16
The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries
... oil market shocks, exacerbated exposure of GCC capital markets to external ...estimated extreme risk values of VaR and ES before and after Lehman investment bank failure at ...Both risk ... See full document
20
Comparative analyses of expected shortfall and value-at-risk under market stress 1
... multivariate extreme value distribution to risk measurement The application of multivariate extreme value distribution to financial risk measurement has some problems that the ... See full document
55
A Monte Carlo Simulation Approach to Forecasting Multi period Value at Risk and Expected Shortfall Using the FIGARCH skT Specification
... stock market indices with the longest continuous history 13 ...indices’ market capitalization, and ii) the fact that they are the most publicly quoted stock market ...the value of their ... See full document
41
Estimating Value at Risk and the Expected Shortfall for Heteroscedastic Financial Log Returns: A Two-Stage Method
... have a standardized t distribution with the degree of freedom ν. Here ν is greater than 2, and is to be estimated together with other unknown parameters. The nodes (splits) of this partition are decided by a selection ... See full document
89
RISK OF INDONESIAN BANKS: AN APPLICATION OF HISTORICAL EXPECTED SHORTFALL METHOD
... banks risk. Therefore, an additional risk analysis tool, such as Value at Risk (VaR), is ...a market risk disclosure should be required, such as that used by the USA, the UK and ... See full document
16
Multiple days ahead value at risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter day versus intra day data
... For the longer time horizon of 20-days-ahead, at the 95% confidence level, the results are presented in Table 4. The forecasting performance of the GARCH-skT model has not deteriorated compared to the case of ... See full document
34
Measuring market risk using extreme value theory
... be expected that local universal and commercial banks (UBs/KBs) will start developing internal risk measurement models, not just to comply, but also to reduce risk-based capital ...two ... See full document
28
Minimizing Conditional Value at Risk under Constraint on Expected Value
... complete market solution, to solve the problem in an incomplete market setting, the exact hedging argument via Martingale Representation Theorem that translates the dynamic problem (1) into the static ... See full document
35
Hedge fund portfolio selection with modified expected shortfall
... The second panel of Figure 2 shows the portfolios’ drawdowns, measured as a percentage of the maximum cumulative return achieved. In this case, we can see that the Fund of Funds index shows drawdowns in 2000 and 2001. ... See full document
11
Bootstrapping the Expected Shortfall
... of expected shortfall has been mainly developed for the identically independently distributed (IID) observations based on the extreme value theory in a parametric or semi-parametric ... See full document
14
Filtered Extreme Value Theory for Value At Risk Estimation
... filtered expected shortfall models predictive performance is better than Garch ...filtered expected shortfall model that beats other ones based on Lopez, Christoffersen and Kupiec tests ... See full document
12
Value at Risk, Expected Shortfall, and Marginal Risk Contribution
... of risk reporting, in which the term „standard deviation“ is replaced by the perhaps easier to understand term „Value at ...stock market quotations. It is with particular importance for risk ... See full document
12
A multivariate commodity analysis and applications to risk management
... the value-at-risk of such a power ...many extreme values in the data ‘force’ the Normal distribution to have a large ...the value-at-risk is larger than in the other ... See full document
40
value_at_risk
... for value at risk (VaR) and expected shortfall (TailVaR) for conditional distributions of a time series of returns on a ¯nancial ...with Extreme Value Theory for estimating ... See full document
33
A STUDY ON THE GOLD INVESTMENT CULTURE OF HOUSEHOLDS IN KERALA- WITH SPECIAL REFERANCE TO VIYYUR WARD OF THRISSUR DISTRICT
... and risk. Gold and Silver, two most widely held precious metals, appeal to almost all kinds of investors because of the reason that they have been good hedges against inflation and highly liquid in ...the ... See full document
9
Multiple risky securities valuation I
... the market price of the corporate bond given by (1) and the reduced form ...The market price at t is a random variable which values comes from the possibility of ...the expected value of the R ... See full document
25
Risk Measurement of Chinese Stock Market Based on GARCH Model and Extreme Value Theory
... the market rises or falls, the model will change the estimatimation of the next VaR at any time, reflecting the changes in the market in a timely ... See full document
13
Evaluating the Precision of Estimators of Quantile Based Risk Measures
... different risk estimates? Various methods have been suggested in the existing literature, but many existing methods are subject to significant limitations: they apply to one risk measure only (typically the ... See full document
32
Importance of Generalized Logistic Distribution in Extreme Value Modeling
... stock market modeling, precisely, choice of adequate distribution of modeling extremal behavior of stock market ...Generalized extreme value (GEV) distribution and generalized Pareto (GP) ... See full document
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