ERN: Value-at-Risk (Topic)最新文献_第3页

Characterizing Optimal Allocations in Quantile-Based Risk Sharing 基于分位数的风险分担的最优分配特征

ERN: Value-at-Risk (Topic) Pub Date : 2019-01-29 DOI: 10.2139/ssrn.3173503

Ruodu Wang, Yunran Wei

引用次数: 13

Estimation of Value-at-Risk for Conduct Risk Losses Using Pseudo-Marginal Markov Chain Monte Carlo 用伪边际马尔可夫链蒙特卡罗估计行为风险损失的风险值

ERN: Value-at-Risk (Topic) Pub Date : 2018-11-26 DOI: 10.21314/jop.2019.232

P. Mitic, Jiaqiao Hu

引用次数: 1

Model-Free Computation of Risk Contributions in Credit Portfolios 信贷组合中风险贡献的无模型计算

ERN: Value-at-Risk (Topic) Pub Date : 2018-10-27 DOI: 10.2139/ssrn.3273894

Álvaro Leitao, L. Ortiz-Gracia

引用次数: 3

Equivalent Distortion Risk Measures on Moment Spaces 矩空间上的等效畸变风险测度

ERN: Value-at-Risk (Topic) Pub Date : 2018-10-11 DOI: 10.2139/ssrn.3175936

D. Cornilly, S. Vanduffel

引用次数: 1

Value-at-Risk Prediction Using Option-Implied Risk Measures 使用期权隐含风险措施预测风险价值

ERN: Value-at-Risk (Topic) Pub Date : 2018-10-01 DOI: 10.2139/ssrn.3279398

Kai Schindelhauer, Chen Zhou

引用次数: 1

Measuring Long-Term Tail Risk: Evaluating the Performance of the Square-Root-of-Time Rule 测量长期尾部风险:评估时间平方根规则的性能

ERN: Value-at-Risk (Topic) Pub Date : 2018-03-22 DOI: 10.2139/ssrn.3374288

Jying‐Nan Wang, Jiangze Du, Yuan‐Teng Hsu

{"title":"Measuring Long-Term Tail Risk: Evaluating the Performance of the Square-Root-of-Time Rule","authors":"Jying‐Nan Wang, Jiangze Du, Yuan‐Teng Hsu","doi":"10.2139/ssrn.3374288","DOIUrl":"https://doi.org/10.2139/ssrn.3374288","url":null,"abstract":"This paper focuses on risk over long time horizons and within extreme percentiles, which have attracted considerable recent interest in numerous subfields of finance. Value at risk (VaR) aggregates several components of asset risk into a single quantitative measurement and is commonly used in tail risk management. Due to realistic data limits, many practitioners might use the square-root-of-time rule (SRTR) to compute long-term VaR. However, serial dependence and heavy-tailedness can bias the SRTR. This paper addresses two deficiencies of the study by Wang et al. (2011), who propose the modified-SRTR (MSRTR) to partially correct the serial dependence and use subsampling estimation as the benchmark to verify the performance of MSRTR. First, we investigate the validity of the subsampling approach through numerical simulations. Second, to reduce the heavy-tailedness bias, we propose a new MSRTR approach (MSRTR∗) in light of the Central Limit Theorem (CLT). In the empirical study, 28 country-level exchange-traded funds (ETFs) from 2010 to 2015 are considered to estimate the 30-day VaR. After modifying both serial dependence and heavy-tailedness, our approach reduces the bias from 26.46% to 5.97%, on average, compared to the SRTR. We also provide a backtesting analysis to verify the robustness of the MSRTR∗. This new approach should be considered when estimating long-term VaR using short-term VaR.","PeriodicalId":203996,"journal":{"name":"ERN: Value-at-Risk (Topic)","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133387521","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Tail Dependence in Small Samples: From Theory to Practice 小样本的尾部依赖:从理论到实践

ERN: Value-at-Risk (Topic) Pub Date : 2018-03-20 DOI: 10.21314/JOP.2017.196

Sophie Lavaud

{"title":"Tail Dependence in Small Samples: From Theory to Practice","authors":"Sophie Lavaud","doi":"10.21314/JOP.2017.196","DOIUrl":"https://doi.org/10.21314/JOP.2017.196","url":null,"abstract":"Tail dependence is a probability-based concept meant to address the challenge of detecting and modeling the extreme comovements that can be observed in many real-life situations. Huge financial losses for a bank, floods and epidemics are obvious instances of such extreme comovements. Like extreme value theory in the univariate case, tail dependence depends on asymptotic theory. Therefore, the statistical assessment of tail dependence faces exactly the same problem as extreme value theory: a scarcity of extreme event observations. In the field of dependence modeling, copulas have stood out as a tool of singular importance. They are widely used to account for the various dependence structures that can be encountered in real life. In 2009, Genest et al provided a series of tests to achieve copula selection but showed that these tests were not greatly powerful. This is all the more true when it comes to selecting a copula where tail dependence is crucial. In this paper, we suggest the use of tail indexes in order to detect the presence of tail dependence in a given data set and thus improve the process of selecting a copula. Because tail dependence often goes with data scarcity, we focus on this specific issue through an application to operational losses in the banking industry and propose a way to apply the benefits from theory in practice, while being conscious of the boundaries of such a notion.","PeriodicalId":203996,"journal":{"name":"ERN: Value-at-Risk (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121186705","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Optimal Reinsurance with Multiple Reinsurers: Competitive Pricing and Coalition Stability 多再保险人的最优再保险:竞争定价与联盟稳定性

ERN: Value-at-Risk (Topic) Pub Date : 2018-01-08 DOI: 10.2139/ssrn.3143224

T. Boonen, K. S. Tan, S. Zhuang

引用次数: 8

Information Risk and the Cost of Equity Capital Revisited: Evidence from the U.S. Property-Casualty Insurance Industry 信息风险与股权资本成本的再考察:来自美国财产意外保险行业的证据

ERN: Value-at-Risk (Topic) Pub Date : 2017-09-29 DOI: 10.2139/ssrn.3045472

Hua Chen, Yingrui Lu, Mary A. Weiss

{"title":"Information Risk and the Cost of Equity Capital Revisited: Evidence from the U.S. Property-Casualty Insurance Industry","authors":"Hua Chen, Yingrui Lu, Mary A. Weiss","doi":"10.2139/ssrn.3045472","DOIUrl":"https://doi.org/10.2139/ssrn.3045472","url":null,"abstract":"This paper revisits the relationship between information risk and the cost of equity capital in the U.S. property-casualty (P/C) insurance industry. Eckles, Halek and Zhang (2014) find that information risk has no effect on the cost of equity using a sample of U.S. P/C insurers. Following their approach, we decompose information risk into innate and discretionary components. We find that innate information risk affects the cost of equity capital through two opposing channels. On the one hand, innate information risk directly increases an insurer’s cost of equity capital by increasing investors’ assessment of the riskiness of the insurer’s future cash flows. On the other hand, innate information risk indirectly decreases the insurer’s cost of equity capital by changing its production so that the assessed riskiness of the firm’s future cash flows are reduced. This (negative) indirect effect depends on factors that influence the insurer’s underwriting decisions. Our empirical results provide supporting evidence for a significant, positive direct effect of innate information risk, while the magnitude of the (negative) indirect effect increases with the insurer’s proportion of long-tail business and decreases with its affiliated reinsurance usage. As to the impact of discretionary information risk, our results are mixed. We also find that, on average, the overall effect of information risk on the cost of equity capital for property-casualty insurers is significant and negative.","PeriodicalId":203996,"journal":{"name":"ERN: Value-at-Risk (Topic)","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115747544","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Addressing Probationary Period within a Competing Risks Survival Model for Retail Mortgage Loss Given Default 考虑违约情况下零售抵押贷款损失的竞争风险生存模型中的试用期问题

ERN: Value-at-Risk (Topic) Pub Date : 2017-08-21 DOI: 10.21314/JCR.2017.228

R. Wood, David Powell

引用次数: 1