Journal of Risk Model Validation最新文献

Internet financial risk assessment in China based on a particle swarm optimization–analytic hierarchy process and fuzzy comprehensive evaluation 基于粒子群优化的中国互联网金融风险评估——层次分析法和模糊综合评判

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2022.028

Zeng Li, Wee‐Yeap Lau, Elya Nabila Abdul Bahri

引用次数: 1

The validation of different systemic risk measurement models 不同系统性风险度量模型的验证

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.004

Hu Wang, Shuyang Jiang

引用次数: 0

A new automated model validation tool for financial institutions 一种新的金融机构自动化模型验证工具

4区经济学

Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.006

Lingling Fan, Alex Schneider, Mazin Joumaa

引用次数: 0

On the mitigation of valuation uncertainty risk: the importance of a robust proxy for the “cumulative state of market incompleteness” 论降低估值不确定性风险:"市场不完备累积状态"的可靠代理的重要性

4区经济学

Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.007

Oghenovo Adewale Obrimah

{"title":"On the mitigation of valuation uncertainty risk: the importance of a robust proxy for the “cumulative state of market incompleteness”","authors":"Oghenovo Adewale Obrimah","doi":"10.21314/jrmv.2023.007","DOIUrl":"https://doi.org/10.21314/jrmv.2023.007","url":null,"abstract":"Suppose the same set of assets enters a primary market in either a monotone decreasing or monotone increasing sequence of asset risk. This study shows that the errors that attend the valuations of those assets in the context of the two different orderings are noncoincident. The sequence in which new assets arrive within a market is thus a source of valuation uncertainty risk. The formal theory shows that both asset risk and valuation uncertainty risk are mitigated if investors condition valuations of new assets on a dynamically evolving intertemporal mechanism that has parameterization as an explicit robust measure for the “cumulative state of [market] incompleteness” (CSI). Theoretically, relative to every preceding state, the CSI is a sufficient measure for the severity of market-conditioned valuation uncertainty risk. Although the derivation of a specific measure for the CSI is beyond the scope of this study, the formal theory arrives at three mathematically specified risk metrics that approximate the properties of the CSI. Let q and M denote, respectively, the individual initial public offering quality and the CSI. The CSI has the explicit parameterization Mt = ⋃ts=1(qs | Ms-1), as is expected of any well-defined measure, is self-propagating.","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135784017","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay 混合付款方案下承包商的汇率风险管理:乌拉圭埃斯特角城的案例研究

4区经济学

Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.011

Martin Egozcue

引用次数: 0

https://www.risk.net/journal-of-risk-model-validation/7956071/measuring-the-systemic-importance-of-chinese-banks-a-comparison-of-different-risk-measurement-models https://www.risk.net/journal-of-risk-model-validation/7956071/measuring-the-systemic-importance-of-chinese-banks-a-comparison-of-different-risk-measurement-models

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2022.029

C. Cai

引用次数: 0

A modified hybrid feature-selection method based on a filter and wrapper approach for credit risk forecasting 一种改进的基于过滤和包装的混合特征选择方法用于信用风险预测

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.001

Guotai Chi, Mohamed Abdelaziz Mandour

引用次数: 0

What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models 我们能从一个好的利润模型中期待什么？基于风险的初始保证金模型的整体分布测试结果

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.002

David Murphy

引用次数: 1

Overfitting in portfolio optimization 投资组合优化中的过拟合

4区经济学

Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2023.005

Matteo Maggiolo, Oleg Szehr

{"title":"Overfitting in portfolio optimization","authors":"Matteo Maggiolo, Oleg Szehr","doi":"10.21314/jrmv.2023.005","DOIUrl":"https://doi.org/10.21314/jrmv.2023.005","url":null,"abstract":"In this paper we measure the out-of-sample performance of sample-based rolling-window neural network (NN) portfolio optimization strategies. We show that if NN strategies are evaluated using the holdout (train–test split) technique, then high out-of-sample performance scores can commonly be achieved. Although this phenomenon is often employed to validate NN portfolio models, we demonstrate that it constitutes a “fata morgana” that arises due to a particular vulnerability of portfolio optimization to overfitting. To assess whether overfitting is present, we set up a dedicated methodology based on combinatorially symmetric cross-validation that involves performance measurement across different holdout periods and varying portfolio compositions (the random-asset-stabilized combinatorially symmetric cross-validation methodology). We compare a variety of NN strategies with classical extensions of the mean–variance model and the 1 / N strategy. We find that it is by no means trivial to outperform the classical models. While certain NN strategies outperform the 1 / N benchmark, of the almost 30 models that we evaluate explicitly, none is consistently better than the short-sale constrained minimum-variance rule in terms of the Sharpe ratio or the certainty equivalent of returns.","PeriodicalId":43447,"journal":{"name":"Journal of Risk Model Validation","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134989272","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Value-at-risk and the global financial crisis 风险价值与全球金融危机

IF 0.7 4区经济学

Journal of Risk Model Validation Pub Date : 2023-01-01 DOI: 10.21314/jrmv.2022.030

Manh Ha Tran, Ngoc Thanh Mai Tran

引用次数: 1