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Assessing Tail Related Risks In Asian Equity Markets
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Book Synopsis Assessing Tail-Related Risks in Asian Equity Markets by : Xiaoming Li
Download or read book Assessing Tail-Related Risks in Asian Equity Markets written by Xiaoming Li and published by . This book was released on 2007 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In assessing tail-related risks in Asian equity markets, we blend the GPD model with the GARCH one. This approach enables us to reveal that innovations after volatility filtering may still remain heavy-tailed or involve tail-related risk that cannot be captured by the GARCH-type model alone. Our results indicate that, at high quantiles, VaRs based on the GPD approach are greater than those based on the normal distribution. We also report the GPD-based unconditional and conditional expected shortfalls that may contain rich information about the potential losses (gains) beyond VaR for the markets under investigation.
Book Synopsis Assessing Tail-related Risks in Asian Equity Markets by : Xiao-Ming Li
Download or read book Assessing Tail-related Risks in Asian Equity Markets written by Xiao-Ming Li and published by . This book was released on 2004 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Assessing Tail-related Risk for Heteroscedastic Return Series of Asian Emerging Equity Markets by : Qing Xu
Download or read book Assessing Tail-related Risk for Heteroscedastic Return Series of Asian Emerging Equity Markets written by Qing Xu and published by . This book was released on 2003 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Extreme Risk in Asian Equity Markets by : John Cotter
Download or read book Extreme Risk in Asian Equity Markets written by John Cotter and published by . This book was released on 2007 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme price movements associated with tail returns are catastrophic for all investors and it is necessary to make accurate predictions of the severity of these events. Choosing a time frame associated with large financial booms and crises this paper investigates the tail behaviour of Asian equity market returns and quantifies two risk measures, quantiles and average losses, along with their associated average waiting periods. Extreme value theory using the Peaks over Threshold method generates the risk measures where tail returns are modelled with a fat-tailed Generalised Pareto Distribution. We find that lower tail risk measures are more severe than upper tail realisations at the lowest probability levels. Moreover, the Kuala Lumpar Composite exhibits the largest risk measures.
Book Synopsis An Assessment of the Conditional Risk-return Relations by : Wai Cheong Shum
Download or read book An Assessment of the Conditional Risk-return Relations written by Wai Cheong Shum and published by . This book was released on 2004 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Beware of the Crash Risk by : Huaigang Long
Download or read book Beware of the Crash Risk written by Huaigang Long and published by . This book was released on 2019 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array of tests, we examine the performance of more than 3,300 stocks for the years 1999 through 2018. Contrary to evidence from developed markets, we demonstrate a strong negative relationship between the tail beta and future returns. The effect is robust to many considerations and cannot be explained by established pricing factors or alternative risk or illiquidity measures. We link our findings to specific characteristics of the Chinese stock market.
Book Synopsis Tail Risk Spillover in Asia Pacific Stock Market by : Tom Fong
Download or read book Tail Risk Spillover in Asia Pacific Stock Market written by Tom Fong and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A New Approach to Tail Risk by : Ana Cascon
Download or read book A New Approach to Tail Risk written by Ana Cascon and published by . This book was released on 2015 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the fundamental requirements of investment management is the ability to assess risk and to adjust exposure to control tail risk, the risk of larger than acceptable losses. Since the onset of the recent credit crisis, the effects of widespread failure of standard techniques for tail risk management have been an almost daily feature in the financial news.The most widely used approach to risk assessment by large financial institutions is the statistical tool known as Value at Risk (VaR). In fact, VaR is the risk measure commonly accepted by bank regulators in the banks' internal models for regulatory capital calculations (International Money Fund 2007). Conventional VaR and Conditional Value at Risk (CVaR) are useful, however, only if their implementation is consistent with the nature of the data. Conventional VaR and CVaR assume that data come from a normal distribution. We examine some of the failings of using this approach with tail risk in a number of examples from 2007 and 2008.To make VaR and CVaR work, it is important to correctly identify the nature of the tails that these techniques try to estimate. For this we introduce tail risk bands, a practical risk measurement tool that categorizes risk levels and identifies assets and market conditions for which conventional VaR cannot be expected to adequately represent downside risk.We illustrate our approach on daily data from equity markets and monthly data from hedge funds. In particular we show that this analysis provided warning of the riskiness of AIG, JPMorgan Chase, Lehman Brothers, the S&P 500 Index, and other equity indexes well in advance of the credit crisis. For the cases where tail risk bands indicate that the conventional VaR model cannot work, we provide a simple, easy-to-implement alternative. This is appropriate in the case of moderately heavy tails, which are common in financial data. This alternative is easily substituted for the standard approach and, as we show in a number of examples, provides a more realistic estimate of risk. We show that this can be used to make risk-adjusted comparisons of assets, using Berkshire Hathaway and JPMorgan Chase shares and the S&P 500 Index as examples. Finally, we provide evidence that during periods of unusual market turmoil only specialized techniques designed to deal with the statistics of extremes are likely to adequately assess the probability or the size of large losses.
Book Synopsis Revisiting Risk-Weighted Assets by : Vanessa Le Leslé
Download or read book Revisiting Risk-Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
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 Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance by : El Bachir Boukherouaa
Download or read book Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance written by El Bachir Boukherouaa and published by International Monetary Fund. This book was released on 2021-10-22 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.
Book Synopsis Heads or Tails by : Evgueni Ivantsov
Download or read book Heads or Tails written by Evgueni Ivantsov and published by Routledge. This book was released on 2016-04-22 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the wake of the global financial crisis, Heads or Tails answers the question: what changes should financial institutions undergo to ensure reliable protection against extreme risks? Recent massive failures among large and respected financial institutions, clearly demonstrate that contemporary risk management and regulation fail to provide adequate responses to the challenges set by extreme risks. Dr Evgueni Ivantsov combines analysis of the nature of extreme risk (so-called tail risk), risk management practices and practical solutions to build a robust, enterprise-wide, extreme risk management framework which includes three lines of defence, ranging from strategic to tactical, designed to help address the tail risk during different stages of its development. The author also discusses: ¢ Why modern ’sophisticated’ risk management frameworks, strong capitalisation and liquidity do not prevent banks from failure in the face of systemic crisis; ¢ What it means to build an effective defence against systemic and catastrophic losses; ¢ What risk architecture should look like to ensure that extreme risk events are identified early and efficiently mitigated; ¢ How modern management practices, regulation and risk and business culture need to change to guarantee sustainability. While the context of Dr Ivantsov’s writing is financial services, the book contains an important message for specialists from any industries exposed to the extreme risks (oil/gas, energy, mining, chemical productions, transportation, etc.). Until the shortcomings of current risk management and regulation are resolved, financial services and other at risk industries will repeat the painful mistakes of the past, over and over again.
Book Synopsis Extreme Correlation of International Equity Markets by : François M. Longin
Download or read book Extreme Correlation of International Equity Markets written by François M. Longin and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial and Macroeconomic Connectedness by : Francis X. Diebold
Download or read book Financial and Macroeconomic Connectedness written by Francis X. Diebold and published by Oxford University Press. This book was released on 2015-02-03 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.
Book Synopsis TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets by : Vineer Bhansali
Download or read book TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets written by Vineer Bhansali and published by McGraw Hill Professional. This book was released on 2013-12-27 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: "TAIL RISKS" originate from the failure of mean reversion and the idealized bell curve of asset returns, which assumes that highly probable outcomes occur near the center of the curve and that unlikely occurrences, good and bad, happen rarely, if at all, at either "tail" of the curve. Ever since the global financial crisis, protecting investments against these severe tail events has become a priority for investors and money managers, but it is something Vineer Bhansali and his team at PIMCO have been doing for over a decade. In one of the first comprehensive and rigorous books ever written on tail risk hedging, he lays out a systematic approach to protecting portfolios from, and potentially benefiting from, rare yet severe market outcomes. Tail Risk Hedging is built on the author's practical experience applying macroeconomic forecasting and quantitative modeling techniques across asset markets. Using empirical data and charts, he explains the consequences of diversification failure in tail events and how to manage portfolios when this happens. He provides an easy-to-use, yet rigorous framework for protecting investment portfolios against tail risk and using tail hedging to play offense. Tail Risk Hedging explores how to: Generate profits from volatility and illiquidity during tail-risk events in equity and credit markets Buy attractively priced tail hedges that add value to a portfolio and quantify basis risk Interpret the psychology of investors in option pricing and portfolio construction Customize explicit hedges for retirement investments Hedge risk factors such as duration risk and inflation risk Managing tail risk is today's most significant development in risk management, and this thorough guide helps you access every aspect of it. With the time-tested and mathematically rigorous strategies described here, including pieces of computer code, you get access to insights to help mitigate portfolio losses in significant downturns, create explosive liquidity while unhedged participants are forced to sell, and create more aggressive yet tail-risk-focused portfolios. The book also gives you a unique, higher level view of how tail risk is related to investing in alternatives, and of derivatives such as zerocost collars and variance swaps. Volatility and tail risks are here to stay, and so should your clients' wealth when you use Tail Risk Hedging for managing portfolios. PRAISE FOR TAIL RISK HEDGING: "Managing, mitigating, and even exploiting the risk of bad times are the most important concerns in investments. Bhansali puts tail risk hedging and tail risk management under a microscope--pricing, implementation, and showing how we can fine-tune our risk exposures, which are all crucial ways in how we can better weather our bad times." -- ANDREW ANG, Ann F. Kaplan Professor of Business at Columbia University "This book is critical and accessible reading for fiduciaries, financial consultants and investors interested in both theoretical foundations and practical considerations for how to frame hedging downside risk in portfolios. It is a tremendous resource for anyone involved in asset allocation today." -- CHRISTOPHER C. GECZY, Ph.D., Academic Director, Wharton Wealth Management Initiative and Adj. Associate Professor of Finance, The Wharton School "Bhansali's book demonstrates how tail risk hedging can work, be concretely implemented, and lead to higher returns so that it is possible to have your cake and eat it too! A must read for the savvy investor." -- DIDIER SORNETTE, Professor on the Chair of Entrepreneurial Risks, ETH Zurich
Book Synopsis Advances in Cross-Section Data Methods in Applied Economic Research by : Nicholas Tsounis
Download or read book Advances in Cross-Section Data Methods in Applied Economic Research written by Nicholas Tsounis and published by Springer Nature. This book was released on 2020-02-24 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume presents new methods and applications in applied economics with special interest in advanced cross-section data estimation methodology. Featuring select contributions from the 2019 International Conference on Applied Economics (ICOAE 2019) held in Milan, Italy, this book explores areas such as applied macroeconomics, applied microeconomics, applied financial economics, applied international economics, applied agricultural economics, applied marketing and applied managerial economics. International Conference on Applied Economics (ICOAE) is an annual conference that started in 2008, designed to bring together economists from different fields of applied economic research, in order to share methods and ideas. Applied economics is a rapidly growing field of economics that combines economic theory with econometrics, to analyze economic problems of the real world, usually with economic policy interest. In addition, there is growing interest in the field of applied economics for cross-section data estimation methods, tests and techniques. This volume makes a contribution in the field of applied economic research by presenting the most current research. Featuring country specific studies, this book is of interest to academics, students, researchers, practitioners, and policy makers in applied economics, econometrics and economic policy.
Book Synopsis The Quarterly Review of Economics and Finance by :
Download or read book The Quarterly Review of Economics and Finance written by and published by . This book was released on 2010 with total page 1098 pages. Available in PDF, EPUB and Kindle. Book excerpt:
