Value-at-risk (var)
Bank risk manager of the year: Goldman Sachs
By recent standards, market risk was in remission for most of 2012 – the Vix index of implied volatility on S&P 500 options had its most subdued year since the start of the crisis, and bank value-at-risk...
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
Steve Satchell Trinity College, University of Cambridge The conference season is, for me at least, well-defined as the three months covering September to November, and I have attended, and in some...
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More Value-at-risk (var) articles
Assessing the performance of generalized autoregressive conditional...
This paper assesses the performance of twelve generalized autoregressive conditional heteroskedasticity (GARCH)-type models for modeling the 99% value-at-risk (VaR) for indexes from countries classified as frontier economies, namely, Mauritius, Tunisia,...
Capturing value-at-risk in futures markets: a revised filtered historical...
This study modifies the filtered historical simulation developed by Barone-Adesi et al, using a general power weighted moving average estimator simulation to forecast value-at-risk (VaR). Our proposed approach is relatively simple and computationally...
Backtesting value-at-risk: a comparison between filtered bootstrap and...
The purpose of this paper is to compare ex ante value-at-risk (VaR) estimation produced by two risk models: historical simulation and Monte Carlo filtered bootstrap. We perform three tests: unconditional coverage, independence and conditional coverage....
Are real investment decisions based on risk-adjusted performance measures...
We show that the use of risk-adjusted performance measures (RAPMs), such as the return on risk-adjusted capital (RORAC) or the risk-adjusted return on risk-adjusted capital (RARORAC), as decision criteria for real investment decisions might favor projects...
Leveraged exchange-traded funds: admissible leverage and risk horizon
This paper provides a quantitative risk analysis of leveraged exchange-traded funds (LETFs) with a focus on the impact of leverage and investment horizon. From the empirical returns of several major LETFs based on the S&P 500 index, the performance of...
Volume 2/Number 1, Winter 2012/13
Arthur M. BerdBERD LLC Welcome to the winter 2012/13 issue of The Journal of Investment Strategies. This issue opens the second volume and the second year of our publication. This milestone comes at a time when we are seeing a steady increase in the...
Review of 2012: Basel III starts to bite
Capital and liquidity consumption now comes with a cost, and that started to make itself felt this year. Risk staff look back at a selection of the year’s big stories
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