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Younes Berouaga, Cherif El Msiyah and Jaouad Madkour
Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investiga...
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Katleho Makatjane and Tshepiso Tsoku
This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which a...
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Brina Miftahurrohmah,Catur Wulandari,Yogantara Setya Dharmawan
Pág. 11 - 21
Background: Stock investment has been gaining momentum in the past years due to the development of technology. During the pandemic lockdown, people have invested more. One the one hand, stock investment has high potential profitability, but on the other,...
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Ramzi Nekhili and Jahangir Sultan
This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at-Ris...
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Jaime Enrique Lincovil,Chang Chiann
Pág. 56 - 76
Evaluating forecasts of risk measures, such as value?at?risk (VaR) and expected shortfall (ES), is an important process for financial institutions. Backtesting procedures were introduced to assess the efficiency of these forecasts. In this paper, we comp...
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Retius Chifurira,Knowledge Chinhamu
AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that b...
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Omar Abbara,Mauricio Zevallos
Pág. 22 - 32
The paper assesses the method proposed by Shumway and Stoffer (2006, Chapter 6, Section 10) to estimate the parameters and volatility of stochastic volatility models. First, the paper presents a Monte Carlo evaluation of the parameter estimates consideri...
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Raúl de Jesús-Gutiérrez,Roberto J. Santillán-Salgado
Pág. 127 - 141
The purpose of this work is to extend McNeil and Frey´s (2000) methodology by combining two component GARCH models and extreme value theory to evaluate the performance of the Value at Risk (VaR) and Expected Shortfall (ES) measures in the Latin American ...
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Leonardo Nascimento Castro,Osvaldo Candido
Pág. 123 - 155
Due to the Crisis of 2008, the Basel Committee accelerated the process for update the Accord and identified some weaknesses such as the inability of VaR to capture the tail risk. Subsequently, it was recommended to substitute VaR, a non-coherent measure ...
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Mustapha Ammari,Ghizlane Lakhnati
Pág. 779 - 785
The Basel Committee offers banks the opportunity to estimate Loss Given Default (LGD) if they wish to calculate their own value for the capital required to cover credit losses. The flexibility to determine LGD values tailored to a bank?s portfolio will l...
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