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Extreme Value Theory A Conditional Approach For Value At Risk Estimation In The Brazilian Stock Market
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Book Synopsis Extreme value theory: a conditional approach for value at risk estimation in the brazilian stock market by :
Download or read book Extreme value theory: a conditional approach for value at risk estimation in the brazilian stock market written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Um dos fatos estilizados mais pronunciados acerca das distribuições de retornos financeiros diz respeito à presença de caudas pesadas. Isso torna os modelos paramétricos tradicionais de cálculo de Valor em Risco (VaR) inadequados para a estimação de VaR de baixas probabilidades (1% ou menos), dado que estes se baseiam na hipótese de normalidade para as distribuições dos retornos. Tais modelos não são capazes de inferir sobre as reais possibilidades de ocorrência de retornos atípicos. Sendo assim, o objetivo do presente trabalho é investigar o desempenho de modelos baseados na Teoria dos Valores Extremos para o cálculo de VaR, comparando-os com modelostradicionais. Um modelo incondicional, proposto a caracterizar o comportamento de longo prazo da série, e um modelo condicional, sugerido por McNeil e Frey(1999), proposto a caracterizar a dependência presente na variância condicional dos retornos foram utilizados e testados em quatro séries de retornos de ações representativas do mercado brasileiro: retornos de Ibovespa, retornos deIbovespa Futuro, retornos das ações da Telesp e retornos das ações da Petrobrás. Os resultados indicam que os modelos baseados na Teoria dos Valores Extremos são mais adequados para a modelagem das caudas, e conseqüentemente para a estimação de Valor em Risco quando os níveisde probabilidade de interesse são baixos. Além disso, o modelo condicional é mais adequado em épocas de crise, pois, ao contrário do modelo incondicional, tem a capacidade de responder rapidamente a mudanças na volatilidade. Medidas alternativas de risco, como a perda média e a perda mediana também foram propostas, a fim de fornecer estimativas para as perdas no caso do VaR ser violado.
Book Synopsis Fractal Approaches for Modeling Financial Assets and Predicting Crises by : Nekrasova, Inna
Download or read book Fractal Approaches for Modeling Financial Assets and Predicting Crises written by Nekrasova, Inna and published by IGI Global. This book was released on 2018-02-09 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an ever-changing economy, market specialists strive to find new ways to evaluate the risks and potential reward of economic ventures. They start by assessing the importance of human reaction during the economic planning process and put together systems to measure financial markets and their longevity. Fractal Approaches for Modeling Financial Assets and Predicting Crises is a critical scholarly resource that examines the fractal structure and long-term memory of the financial markets in order to predict prices of financial assets and financial crises. Featuring coverage on a broad range of topics, such as computational process models, chaos theory, and game theory, this book is geared towards academicians, researchers, and students seeking current research on pricing and predicting financial crises.
Book Synopsis Implementing Value at Risk by : Philip Best
Download or read book Implementing Value at Risk written by Philip Best and published by John Wiley & Sons. This book was released on 2000-11-21 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understand the value VAR can add to a bank's understanding and control of its risks. This book aims to explain how VAR can be used as an integral part of a risk and business management framework, rather than as a stand-alone tool. The objectives of this book are to explain: What VAR is - and isn't! How to calculate VAR - the three main methods Why stress testing is needed to complement VAR How to make stress testing effective How to use VAR and stress testing to manage risk How to use VAR to improve a bank's performance VAR as a regulatory measure of risk and capital Risk management practitioners, general bank managers, consultants and students of finance and risk management will find this book, and the software package included, an invaluable addition to their library. Finance/Investment
Book Synopsis Financial Risk Forecasting by : Jon Danielsson
Download or read book Financial Risk Forecasting written by Jon Danielsson and published by John Wiley & Sons. This book was released on 2011-04-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.
Book Synopsis International Journal of forecasting by :
Download or read book International Journal of forecasting written by and published by . This book was released on 2004 with total page 810 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Systemic Contingent Claims Analysis by : Mr.Andreas A. Jobst
Download or read book Systemic Contingent Claims Analysis written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2013-02-27 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2005 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Guide to IMF Stress Testing by : Ms.Li L Ong
Download or read book A Guide to IMF Stress Testing written by Ms.Li L Ong and published by International Monetary Fund. This book was released on 2014-12-23 with total page 610 pages. Available in PDF, EPUB and Kindle. Book excerpt: The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).
Book Synopsis The VAR Implementation Handbook by : Greg N. Gregoriou
Download or read book The VAR Implementation Handbook written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-03-15 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: [flap] For investors, risk is about the odds of losing money, and Value at Risk (VaR) is grounded in that common-sense fact. VAR modeling answers, “What is my worst-case scenario?” and “How much could I lose in a really bad month?” However, there has not been an effective guidebook available to help investors and financial managers make their own VaR calculations--until now. The VaR Implementation Handbook is a hands-on road map for professionals who have a solid background in VaR but need the critical strategies, models, and insights to apply their knowledge in the real world. Heralded as “the new science of risk management,” VaR has emerged as the dominant methodology used by financial institutions and corporate treasuries worldwide for estimating precisely how much money is at risk each day in the financial markets. The VaR Implementation Handbook picks up where other books on the subject leave off and demonstrates how, with proper implementation, VaR can be a valuable tool for assessing risk in a variety of areas-from equity to structured and operational products. This complete guide thoroughly covers the three major areas of VaR implementation--measuring, modeling risk, and managing--in three convenient sections. Savvy professionals will keep this handbook at their fingertips for its: Reliable advice from 40 recognized experts working in universities and financial institutions around the world Effective methods and measures to ensure that implemented VaR models maintain optimal performance Up-to-date coverage on newly exposed areas of volatility, including derivatives Real-world prosperity requires making informed financial decisions. The VaR Implementation Handbook is a step-by-step playbook to getting the most out of VaR modeling so you can successfully manage financial risk.
Book Synopsis Extreme Values and Financial Risk by : Saralees Nadarajah
Download or read book Extreme Values and Financial Risk written by Saralees Nadarajah and published by MDPI. This book was released on 2019-01-15 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Extreme Values and Financial Risk" that was published in JRFM
Book Synopsis Credit Risk Management In and Out of the Financial Crisis by : Anthony Saunders
Download or read book Credit Risk Management In and Out of the Financial Crisis written by Anthony Saunders and published by John Wiley & Sons. This book was released on 2010-04-16 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.
Download or read book Operational Risk written by Andreas Jobst and published by International Monetary Fund. This book was released on 2007-10-01 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from inadequate or failed internal processes and information systems, from misconduct by people or from unforeseen external events. Our analysis informs an integrated assessment of the quantification of operational risk exposure and the consistency of current capital rules on operational risk based on generalized parametric estimation.
Book Synopsis Factor Investing and Asset Allocation: A Business Cycle Perspective by : Vasant Naik
Download or read book Factor Investing and Asset Allocation: A Business Cycle Perspective written by Vasant Naik and published by CFA Institute Research Foundation. This book was released on 2016-12-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cyber Risk for the Financial Sector: A Framework for Quantitative Assessment by : Antoine Bouveret
Download or read book Cyber Risk for the Financial Sector: A Framework for Quantitative Assessment written by Antoine Bouveret and published by International Monetary Fund. This book was released on 2018-06-22 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cyber risk has emerged as a key threat to financial stability, following recent attacks on financial institutions. This paper presents a novel documentation of cyber risk around the world for financial institutions by analyzing the different types of cyber incidents (data breaches, fraud and business disruption) and identifying patterns using a variety of datasets. The other novel contribution that is outlined is a quantitative framework to assess cyber risk for the financial sector. The framework draws on a standard VaR type framework used to assess various types of stability risk and can be easily applied at the individual country level. The framework is applied in this paper to the available cross-country data and yields illustrative aggregated losses for the financial sector in the sample across a variety of scenarios ranging from 10 to 30 percent of net income.
Book Synopsis Stock Market Volatility by : Greg N. Gregoriou
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Book Synopsis Applied Corporate Finance by : Aswath Damodaran
Download or read book Applied Corporate Finance written by Aswath Damodaran and published by John Wiley & Sons. This book was released on 2014-10-27 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aswath Damodaran, distinguished author, Professor of Finance, and David Margolis, Teaching Fellow at the NYU Stern School of Business, has delivered the newest edition of Applied Corporate Finance. This readable text provides the practical advice students and practitioners need rather than a sole concentration on debate theory, assumptions, or models. Like no other text of its kind, Applied Corporate Finance, 4th Edition applies corporate finance to real companies. It now contains six real-world core companies to study and follow. Business decisions are classified for students into three groups: investment, financing, and dividend decisions.
