In this paper, the authors establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit…
This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
Banque Pictet quant explains a new backtesting method for expected shortfall
In this paper, the authors review some of the existing methods used to quantify operational risks in the banking and insurance industries.
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Regulators should try to combat rogue trading by measuring traders’ risk-taking differently, say quants
This paper focuses on the parametric estimators of risk measures and uses Hampel’s infinitesimal approach to derive the robustness properties.
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
Few funds have tracking-error constraints, says risk institute
This paper looks for optimal explicit constructions and empirical tests in regards to pricing and hedging derivatives with coherent risk measures.
This paper derives explicit formulas for the optimal implementation shortfall trading curve with linear and nonlinear market impact.
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.
This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral channels implied by economic theory.
This paper proposes an AR–GARCH-type EVT model with various innovations for energy price risk quantification.
The authors of this paper aim to test empirically the performance of several optimization algorithms that exist in the literature and then compare them, in both a single-regime market and a two-regime market.
This paper presents a solution to a common problem in asset and portfolio risk, when a manager has such a short history of asset returns that risk and performance measure estimates are unreliable.
Buffett's warning on perils of volatility is well justified, argues Kaminski
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.
In this paper, saddle point techniques are used in the computation of risk measures for large mark-to-market credit portfolios with stochastic recovery and correlation between obligors depending on the state of the economy.
Expectiles' results are analogous to those of value-at-risk and expected shortfall