How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.
David Frank proposes an adjustment to sample variance for the computation of value-at-risk
Buy-siders need to plug changes into VAR, say risk managers
When the Basel Committee completed FRTB in January 2016, the hard work began for the banks
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Value-at-risk bounds for multivariate heavy tailed distribution: an application to the Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity model
This paper aims to derive VaR bounds for the portfolios of possibly dependent financial assets for heavy tailed Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity processes using extreme value theory copulas.
Hardwiring of older risk measure into Priips means risk ratings could mislead investors
Investment Association welcomes suggestions to regulate illiquid and levered funds
This paper studies the impact of model risk on EVT methods when determining the value-at-risk and expected shortfall.
Bids to use bigger datasets give no better loss forecasts, says hedge fund
Wujiang Lou extends liability-side pricing theory to initial margin
The papers in this issue are all related to energy risk management, including both risk assessment and risk hedging by financial derivatives.
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates
This paper investigates the performance of the CGMY distribution in estimating the risk of FX rates.
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.