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.
This paper investigates whether there are existing common model features that yield consistently superior results under both VaR and ES risk metrics in the energy commodities markets.
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
This paper models the tail behavior of daily returns and forecasting VaR in order to evaluate the performance of several skewed and symmetric distributions.
This paper looks at hourly spot prices at the German electricity market and applies extreme value theory (EVT) to investigate the tails of the price change distribution.
A new method to estimate marginal VAR and marginal ES is presented
This paper discusses a VaR time-scaling approach based on fitting a distribution function so as to apply a Monte Carlo simulation to determine long-term VaR.
Alessandro Mauro shows how using value-at-risk can improve market risk analysis in the energy sector
This paper discusses the application of orthogonal polynomials to the estimation of probability density functions.
Alexey Botvinnik and Vladimir Ostrovski propose a validation method for interest rate models
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
Academics develop expected shortfall backtest to compare standardised and internal models
Fissler, Ziegel and Gneiting investigate the role of elicitability in backtesting problems and show how comparative backtests can be implemented for expected shortfall
Torresetti and Le Pera explore the relevance of the diversification benefit from a theoretical and practical viewpoint
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
After 16 years as our risk analysis columnist, David Rowe looks back at a recurring challenge
This paper studies alternative mixing models for external data for a particular risk class.
This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR.
This paper puts forward two strategies for improving Historical Simulation in weak areas.
This issue of The Journal of Risk covers historical simulation and extreme value theory, as well as the assessment of bond portfolios with missing credit ratings and a behavioral perspective on option risk management.