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).
In this paper, the authors propose a measure for systemic risk, CoCVaR, the conditional value-at-risk (CVaR) of the financial system conditional on an institution being in financial distress.
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
In this paper the authors investigate how fixed-fee transaction costs affect portfolio rebalancing.
Risk Awards 2017: Bold decision to ditch VAR in favour of expected shortfall pays off
The author of this paper develops an analytical form of stressed value-at-risk (analytical SVaR), using conditional value-at-risk (CoVaR).
Hardwiring of older risk measure into Priips means risk ratings could mislead investors
Risk ratings ignore soft barrier protection and make differentiation difficult
Asset manager stress tests aim to measure fund liquidity and contagion risks
This paper looks for optimal explicit constructions and empirical tests in regards to pricing and hedging derivatives with coherent risk measures.
This paper considers the portfolio optimization problem, with conditional value-at-risk as the objective.
This paper proposes an AR–GARCH-type EVT model with various innovations for energy price risk quantification.
Three easy-to-implement methods for back-testing expected shortfall
A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents
We consider the class of risk measures associated with optimized certainty equivalents.
Expectiles’ risk contributions are essentially the same as those of expected shortfall