Journal of Risk最新文献_第2页

Peak-to-valley drawdowns: insights into extreme path-dependent market risk 峰谷回落:对极端路径依赖市场风险的洞察

4区经济学

Journal of Risk Pub Date : 2023-01-01 DOI: 10.21314/jor.2023.012

Hans Geboers, Benoit Depaire, Stefan Staetmans

{"title":"Peak-to-valley drawdowns: insights into extreme path-dependent market risk","authors":"Hans Geboers, Benoit Depaire, Stefan Staetmans","doi":"10.21314/jor.2023.012","DOIUrl":"https://doi.org/10.21314/jor.2023.012","url":null,"abstract":"In this paper, we study risk from the perspective of peak-to-valley market drawdowns. The objective is to gain empirical insights into the drawdown behavior of various asset classes during several time intervals. While the existing literature on drawdown distributions has primarily focused on local drawdowns or consecutive daily drops in various asset classes, this paper focuses on extreme (cumulative) losses occurring over a daily, biweekly, monthly, quarterly and yearly period. The typical investor is mainly concerned with significant negative downward movements, especially when several of these movements happen within a specific time frame. The drawdown measure studied herein embodies this path-dependent risk better than a typical daily standard deviation or value-at-risk estimate due to its cumulative and path-dependent nature. The drawdowns over different periods are analyzed for 25 assets linked to equity indexes, commodities and foreign exchange rates. The tail observations of these drawdowns are fitted to the power law (Pareto distribution) and the stretched exponential (Weibull distribution).We find that the bulk of these observations are well fitted by both distributions. In addition, our analysis shows that the most extreme observations tend to fall between the Weibull and Pareto fits, suggesting that these can be used to define a lower and upper boundary for modeling future drawdowns.","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"12 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":"135662608","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

Realized quantity extended conditional autoregressive value-at-risk models 实现了数量扩展条件自回归风险值模型

4区经济学

Journal of Risk Pub Date : 2023-01-01 DOI: 10.21314/jor.2023.010

Pit Götz

{"title":"Realized quantity extended conditional autoregressive value-at-risk models","authors":"Pit Götz","doi":"10.21314/jor.2023.010","DOIUrl":"https://doi.org/10.21314/jor.2023.010","url":null,"abstract":"This paper introduces quantile models that incorporate realized variance, realized semivariance, jump variation and jump semivariation based on a conditional autoregressive quantile regression model framework for improved value-at-risk (VaR) and improved joint forecasts of VaR and expected shortfall (ES), which we denote by .VaR; ES/. Our empirical results show that high-frequency-data-based realized quantities lead to better VaR and .VaR; ES/ forecasts. We evaluate these using conditional coverage and dynamic quantile backtests for VaR, regression-based backtests for .VaR; ES/ and comparison tests based on scoring functions and model confidence sets. The study includes data sets covering the global financial crisis of 2007–9 and the Covid-19 pandemic to ensure stability over different market conditions. The results indicate that realized quantity extensions improve forecasts in terms of classic and comparison tests for all quantile levels and time periods, with stand-alone VaR forecasts benefiting the most. It is shown that the symmetric absolute value quantile model benefits the most from realized semivariance extension, whereas the asymmetric slope model benefits the most from realized variance extension.","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"27 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":"135500920","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

The importance of being scrambled: supercharged quasi-Monte Carlo 被打乱的重要性:增压的类似蒙特卡洛

IF 0.7 4区经济学

Journal of Risk Pub Date : 2023-01-01 DOI: 10.21314/jor.2023.008

Sergei Kucherenko, J. Hok

引用次数: 0

Target-date funds: lessons learned 目标日期基金:经验教训

IF 0.7 4区经济学

Journal of Risk Pub Date : 2023-01-01 DOI: 10.21314/jor.2022.056

B. Chang, L. Booth

引用次数: 0

Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation 在风险价值和条件风险价值预测中，采用歪斜指数混合预测，以符合市场风险监管

IF 0.7 4区经济学

Journal of Risk Pub Date : 2023-01-01 DOI: 10.21314/jor.2023.002

S. Hassani, G. Dionne

引用次数: 0

The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures 风险因素披露的信息性：利用相似性测度估计股票收益的协方差矩阵

IF 0.7 4区经济学

Journal of Risk Pub Date : 2023-01-01 DOI: 10.21314/jor.2023.003

Lukas Tillmann, M. Walther

引用次数: 0

Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing 揭露隐藏的影响:非投资者的分歧及其在资产定价中的作用

IF 0.7 4区经济学

Journal of Risk Pub Date : 2023-01-01 DOI: 10.21314/jor.2023.004

Tingli Liu, Jianing Liu, Junjun Ma, Yafei Tai

引用次数: 0

Research on the premium for the joint lower-tail risk of liquidity and investor sentiment 流动性与投资者情绪联合低尾风险溢价研究

4区经济学

Journal of Risk Pub Date : 2023-01-01 DOI: 10.21314/jor.2023.006

Yuting Hou, Xiu Jin, Weiqiang Huang

{"title":"Research on the premium for the joint lower-tail risk of liquidity and investor sentiment","authors":"Yuting Hou, Xiu Jin, Weiqiang Huang","doi":"10.21314/jor.2023.006","DOIUrl":"https://doi.org/10.21314/jor.2023.006","url":null,"abstract":"Considering the dual risks of extreme downside liquidity and extreme negative sentiment, we introduce the concept of the joint lower-tail risk of liquidity and investor sentiment (LISR) and construct measures to study the issue of lower-tail risk premiums in the Chinese stock market. Our findings provide convincing evidence that the premiums for LISR measures are significant regardless of the sentiment at the market or firm level. Downside liquidity risk and extreme negative sentiment cannot explain the LISR premiums separately, which means that an extreme downside change in liquidity and extreme negative sentiment have a joint effect on future stock returns. In addition, LISR premiums are robust to various portfolio double sorts, hold for various asset pricing factor models and remain significant when controlling for an extensive list of firm characteristics. Our conclusions have obvious value for improving and enriching the theoretical research on investor sentiment and liquidity risk premiums, and they provide a valuable reference for investors aiming to construct portfolios matching their own risk preferences, and for regulators supervising the market.","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"21 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":"135597542","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

The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans 金融和宏观经济因素对新兴国家金融稳定的影响:来自土耳其不良贷款的证据

IF 0.7 4区经济学

Journal of Risk Pub Date : 2023-01-01 DOI: 10.21314/jor.2022.050

M. Kartal, F. Ayhan, Merve Altaylar

引用次数: 1

Value-at-risk models: a systematic review of the literature 风险价值模型：文献系统综述

IF 0.7 4区经济学

Journal of Risk Pub Date : 2023-01-01 DOI: 10.21314/jor.2022.053

Reem Shayya, M. Sorrosal-Forradellas, A. Terceño

引用次数: 0