Value at risk ≈ Value at risk
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Regime changes in Bitcoin GARCH volatility dynamics Open
We test the presence of regime changes in the GARCH volatility dynamics of Bitcoin log–returns using Markov–switching GARCH (MSGARCH) models. We also compare MSGARCH to traditional single–regime GARCH specifications in predicting one–day a…
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Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution Open
Value at Risk (VaR) forecasts can be produced from conditional autoregressive VaR models, estimated using quantile regression. Quantile modeling avoids a distributional assumption, and allows the dynamics of the quantiles to differ for eac…
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Elicitability and backtesting: Perspectives for banking regulation Open
Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations. In order to assess forecasting performance of a risk measurement procedure, …
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Estimation of Tail Risk Based on Extreme Expectiles Open
Summary We use tail expectiles to estimate alternative measures to the value at risk and marginal expected shortfall, which are two instruments of risk protection of utmost importance in actuarial science and statistical finance. The conce…
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Using Conditional Copula to Estimate Value at Risk Open
Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance (also known as analytical), and the Monte Carlo approaches. Whereas…
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Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas Open
This paper contributes a shred of quantitative evidence to the embryonic literature as well as existing empirical evidence regarding spillover risks among cryptocurrency markets. By using VAR (Vector Autoregressive Model)-SVAR (Structural …
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Financial modelling, risk management of energy instruments and the role of cryptocurrencies Open
This paper empirically investigates whether cryptocurrencies might have a useful role in financial modelling and risk management in the energy markets. To do so, the causal relationship between movements on the energy markets (specifically…
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Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting Open
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the r…
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Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic Open
This study provides a novel framework for analysing systematic tail risk transmission mechanisms by combining the Conditional Autoregressive Value-at-Risk (CAViaR) model with the recently developed Time-Varying Parameter Vector Autoregress…
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Value-at-risk and related measures for the Bitcoin Open
Purpose The purpose of this paper is to examine the value-at-risk and related measures for the Bitcoin and to compare the findings with Standard and Poor’s SP500 Index, and the gold spot price time series. Design/methodology/approach A GJR…
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An Economic Risk Analysis in Wind and Pumped Hydro Energy Storage Integrated Power System Using Meta-Heuristic Algorithm Open
Due to the restructuring of the power system, customers always try to obtain low-cost power efficiently and reliably. As a result, there is a chance to violate the system security limit, or the system may run in risk conditions. In this pa…
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On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles Open
This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of va…
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NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY Open
We propose nonparametric estimators for conditional value-at-risk (CVaR) and conditional expected shortfall (CES) associated with conditional distributions of a series of returns on a financial asset. The return series and the conditioning…
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Bank risk and performance in an emerging market setting: the case of Bangladesh Open
Purpose This study aims to investigate the impacts of bank capital requirements on the performance and risk of the emerging economy, i.e. Bangladeshi banking sector. Design/methodology/approach The study applies an unbalanced panel data wh…
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Forecasting Value-at-Risk under Different Distributional Assumptions Open
Financial asset returns are known to be conditionally heteroskedastic and generally non-normally distributed, fat-tailed and often skewed. These features must be taken into account to produce accurate forecasts of Value-at-Risk (VaR). We p…
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Implications of clean energy, oil and emissions pricing for the GCC energy sector stock Open
In this study, we analyse the implications of clean energy, oil and emission prices for the energy sector stock in the GCC region. In so doing, we estimate one-day-ahead value at risk (VaR) and the expected shortfall (ES) for Saudi, Abu Dh…
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Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple Open
This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory properties. Using daily data for the three major cryptocurrencies, namely Ripple, Ethereum, and Bitcoin, we test for the long …
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Cryptocurrencies <span>value‐at‐risk</span> and expected shortfall: Do regime‐switching volatility models improve forecasting? Open
This paper evaluates the presence of regime changes in the log‐returns volatility dynamics of cryptocurrencies using Markov‐Switching GARCH (MS‐GARCH) models. The empirical study compares the prediction performance of MS‐GARCH against trad…
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Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) Open
Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up…
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Robust distortion risk measures Open
The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well‐informed decisions. In this paper, we quantify, for the class of distortion risk measures with…
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Modelling systemic risk using neural network quantile regression Open
We propose a novel approach to calibrate the conditional value-at-risk (CoVaR) of financial institutions based on neural network quantile regression. Building on the estimation results, we model systemic risk spillover effects in a network…
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On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting Open
This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models: sGARCH, girGARCH, eGARCH, iGARCH, aGARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH along with value at risk estimation and…
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Analysing Systemic Risk in the Chinese Banking System Open
We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the marginal expected shortfall (MES), the systemic impact index (SII) and the vulnerability index (VI) for 16 listed banks in Chin…
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A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes Open
Value and momentum returns and combinations of them across both countries and asset classes are explained by their loadings on global macroeconomic risk factors. These loadings describe why value and momentum have positive return premia, a…
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An analysis of CEE equity market integration and their volatility spillover effects Open
Purpose The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period. Des…
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Risk assessment of microgrid aggregators considering demand response and uncertain renewable energy sources Open
In power market environment, the growing importance of demand response (DR) and renewable energy source (RES) attracts more for-profit DR and RES aggregators to compete with each other to maximize their profit. Meanwhile, the intermittent …
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Bitcoin Return Volatility Forecasting: A Comparative Study between GARCH and RNN Open
One of the notable features of bitcoin is its extreme volatility. The modeling and forecasting of bitcoin volatility are crucial for bitcoin investors’ decision-making analysis and risk management. However, most previous studies of bitcoin…
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COVID-19 Pandemic and Financial Contagion Open
The original contribution of this paper is to empirically document the contagion of the Covid-19 on financial markets. We merge databases from Johns Hopkins Coronavirus Center, Oxford-Man Institute Realized Library, NYU Volatility Lab, and…
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Forecasting risk measures using intraday data in a generalized autoregressive score framework Open
A new framework for the joint estimation and forecasting of dynamic value at risk (VaR) and expected shortfall (ES) is proposed by our incorporating intraday information into a generalized autoregressive score (GAS) model introduced by Pat…
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Sensitivity measures based on scoring functions Open
We propose a holistic framework for constructing sensitivity measures for any\nelicitable functional $T$ of a response variable. The sensitivity measures,\ntermed score-based sensitivities, are constructed via scoring functions that\nare (…