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Displaying results 1 to 8 of 8.

  1. Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: [2023]
    Publisher:  [Canada Research Chair in Risk Management], [Montréal]

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 631
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Working papers] / [Canada Research Chair in Risk Management] ; [23, 2]
    Subjects: Conditional forecasting; VaR; CVaR; backtesting; Basel regulation for market risk; heavy tailed distributions
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  2. Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: March 2023
    Publisher:  Bureau de Montreal, Université de Montreal, Montréal (Québec)

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 18
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CIRRELT ; CIRRELT-2023, 13
    Subjects: Conditional forecasting; VaR; CVaR; backtesting; Basel regulation for market risk; heavy tailed distributions
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  3. Arbitrage with financial constraints and market power
    Author: Fardeau, Vincent
    Published: 2022
    Publisher:  Higher School of Economics Publ. House, Moscow

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; WP9/2022, 01
    Subjects: limits of arbitrage; liquidity; strategic arbitrage; market structure; price impact; margin requirements; VaR
    Scope: 1 Online-Ressource (circa 86 Seiten), Illustrationen
  4. Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: July 2022
    Publisher:  Bureau de Montreal, Université de Montreal, Montréal (Québec)

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 18
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CIRRELT ; CIRRELT-2022, 18
    Subjects: Conditional forecasting; VaR; CVaR; Backtesting; basel regulation for market risk; heavy tailed distributions
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  5. Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: [2022]
    Publisher:  [Canada Research Chair in Risk Management], [Montréal]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 631
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Working papers] / [Canada Research Chair in Risk Management] ; [22, 3]
    Subjects: Conditional forecasting; VaR; CVaR; Backtesting; Basel regulation for market risk; Heavy tailed distributions
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  6. The new international regulation of market risk: roles of VaR and CVaR in model validation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: January 2021
    Publisher:  Bureau de Montreal, Université de Montreal, Montréal (Québec)

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 18
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CIRRELT ; CIRRELT-2021, 04
    Subjects: Basel III; VaR; CVaR; Expected Shortfall; backtesting; parametric model; non-parametric model; mixture of distributions; fat-tail distribution
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  7. The new international regulation of market risk
    roles of VaR and CVaR in model validation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: [2021]
    Publisher:  [Canada Research Chair in Risk Management], [Montréal]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 631
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Working papers] / [Canada Research Chair in Risk Management] ; [21, 1]
    Subjects: Basel III; VaR; CVaR; Expected Shortfall; backtesting; parametric model; nonparametric model; mixture of distributions; fat-tail distribution
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  8. Bayesian predictive distributions of oil returns using mixed data sampling volatility models
    Author: Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran
    Published: [2023]
    Publisher:  Örebro University School of Business, Örebro, Sweden

    This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as... more

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    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 776
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    This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of relevant financial/macroeconomic news into asset price movements. For inference and prediction, we employ an innovative Bayesian estimation approach called the density-tempered sequential Monte Carlo method. Our findings indicate that the inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV-type models. Notably, GAS-family models exhibit superior performance in terms of in-sample fit, out-of-sample forecast accuracy, as well as Value-at-Risk and Expected Shortfall prediction.

     
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/274606
    Series: Array ; 2023, 7
    Subjects: ES; GARCH; GAS; log marginal likelihood; MIDAS; SV; VaR
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen