Parametric modelling
Marcelo Cruz: Robust estimation
Published online only
Source: Operational Risk & Regulation
A number of recent papers submitted to the Journal of Operational Risk on robust estimation reflect the concerns of the op risk modelling community about the reliability of parameter estimation in severity...
Original headline:
Source: Risk magazine
The calculation of value-at-risk by historical simulation suffers increasingly from the problem of missing market data as the number of time series being included grows. This problem therefore tends to...
Published online only
Source: Energy Risk
Tradition Re, the US reinsurance division of interdealer broker Tradition, has completed a Dutch auction on behalf of a reinsurer aiming to hedge risk during the 2010 hurricane season in Florida.
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More Parametric modelling articles
Benchmarking asset correlations
Published online only
Source: Operational Risk & Regulation
Basel II stipulates that the asset correlation to be used in calibration of obligor risk weights is20%. Here, Alfred Hamerle, Thilo Liebig and Daniel Rösch use a parametric model to empirically obtain asset correlations from a large database of historical...
Benchmarking asset correlations
Published online only
Source: Risk magazine
Basel II stipulates that the asset correlation to be used in calibration of obligor risk weights is 20%. Here, Alfred Hamerle, Thilo Liebig and Daniel Rösch use a parametric model to empirically obtain asset correlations from a large database of historical...
Minimising extremes
Published online only
Source: Risk magazine
Portfolio diversification often breaks down in stressed market environments, but the co-movement of asset prices in a tail risk regime may be modelled using a coefficient of tail dependence. Here, Yannick Malevergne and Didier Sornette show how such coefficients...
Deutsche launches enhanced DBIQ
Original headline:
Source: Credit
DEUTSCHE BANK HAS RELEASED AN enhanced version of its DBIQ analysis platform, creating what it says is the most comprehensive online risk system available to money managers. The bank has added two major components – the DBIQ Portfolio System and DBIQ...
Style-based value-at-risk for UK equities
Original headline:
Source: Risk magazine
What is the best risk measure for active fund managers? Stephen Rees argues that traditionaltracking error measures should be replaced by a form of value-at-risk. Here he constructs andtests a parametric VAR model in the context of UK equity ‘style’...
A mixed-up smile
Original headline:
Source: Risk magazine
Local volatility models have lost ground to stochastic volatility models, partly because theiradvocates cannot agree on parametrisations. Perhaps this paper will reverse the trend.Here, Damiano Brigo and Fabio Mercurio use lognormal mixtures to construct...
VaR-x: Fat tails in financial risk management
Published online only
Source: Operational Risk & Regulation
To ensure a competent regulatory framework with respect to value-at-risk (VaR) for establishing a bank's capital adequacy requirements, as promoted by the Basel Committee on Banking Supervision, the parametric approach for estimating VaR needs to incorporate...
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