The authors put forward a means of Euler capital allocation where the probability level is adjusted such that the total capital is equal to the reference quantile-based capital level.
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
The authors investigate a method that combines two skewed exponential power distributions and models the conditional forecasting of VaR and CVaR and is in compliance with the recent Basel framework for market risk.
A portfolio optimisation technique for pension funds and insurance portfolios is presented
The authors use a parametric estimation for CoVaR and compare the goodness-of-fit and backtesting of AEPD with other commonly used distributions using data from the Chinese banking sector from 2008-2019.
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach
The author uses the marginal expected shortfall method alongside the Beta-skew-t-exponential generalized autoregressive conditional heteroscedasticity-extreme value theory model and the CoVaR model to investigate risk spillover between the crude oil…
This paper investigates the problem of minimizing the risk of exposure to a small number of defaultable counterparties based on spectral risk measures.
This paper demonstrates that risk-averse traders can benefit from delaying trades using a model that accounts for volume uncertainty.
New approach calculates contributions to value-at-risk for nonlinear portfolios
This paper develops a copula-GARCH-MIDAS model to estimate the joint probability distribution of multivariate variables, and then derives CoVaR-type risk measures.
Quants use neural networks to upgrade classic options pricing model
Quants find physical and transition risks can lead to significant rise in CVA
This paper proposes a simple and robust expected shortfall estimation method based on the tail-based normal approximation.
This paper develops a method for estimating value-at-risk and conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and a matrix-variate setting.
New valuation adjustment may lead to more efficient management of derivatives books
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Risk.net research finds 28 of 50 large companies now have CSAs – but has the trend run its course?
An optimal hedging strategy for options in discrete time using a reinforcement learning technique
Old-fashioned parametric models are still the best: a comparison of value-at-risk approaches in several volatility states
The authors present backtesting results for 1% and 2.5% VaR of six indexes from emerging and developed countries using several of the best-known VaR models, including generalized autoregressive conditional heteroscedasticity (GARCH), extreme value theory…
This paper proposes a novel method for estimating future operational risk capital: incremental value-at-risk (IVaR)
CCPs need new tools to scrutinise their members, for everyone’s good health
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
In this paper, the authors develop a computational method to find a unique, corrected Cornish–Fisher distribution efficiently for a wide range of skewnesses and kurtoses.
New guidance expected to be released for consultation in early 2019
In this paper, a sensitivity analysis using pair–copula decomposition of multivariate dependency models is performed on estimates of value-at-risk (VaR) and conditional value-at-risk (CVaR).