Goodness Of Fit Tests Focus On Value At Risk Estimation

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Goodness-of-Fit Tests Focus on Value-at-Risk Estimation

Author : José Fajardo
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Goodness-of-Fit Tests Focus on Value-at-Risk Estimation by : José Fajardo

Download or read book Goodness-of-Fit Tests Focus on Value-at-Risk Estimation written by José Fajardo and published by . This book was released on 2008 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: A common statistical problem in finance is measuring the goodness-of-fit of a given distribution to real world data. This can be done using distances to measure how close an empirical distribution is from a theoretical distribution. The tails of the distribution should receive special importance if the focus is on Value-at-Risk (VaR) calculations. This paper analyzes the use of distances to test the goodness-of-fit of estimated distributions for VaR calculation purposes. The Crnkovic and Drachman (1996) distance and a new distance are used to perform goodness-of-fit tests. The critical values of the tests are obtained using Monte Carlo simulation, and goodness-of-fit tests are performed based on the distances. The power of the tests is assessed through Monte Carlo experiments, showing good results for sample sizes greater than 250. The US Dollar/Brazilian Real exchange rate and the Ibovespa index are used as examples of practical applications of how to test the hypothesis that an empirical distribution is equal to an estimated one. The estimated distributions considered are the Generalized Hyperbolic (GH), the NIG (Normal Inverse Gaussian) and Normal. The test results rejected the null hypothesis for the Normal distribution, but did not reject it for the Generalized Hyperbolic and NIG, both at a 1% significance level.

Goodness-of-Fit Tests and Model Validity

Author : C. Huber-Carol
Publisher : Springer Science & Business Media
ISBN 13 : 1461201039
Total Pages : 512 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Goodness-of-Fit Tests and Model Validity by : C. Huber-Carol

Download or read book Goodness-of-Fit Tests and Model Validity written by C. Huber-Carol and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 37 expository articles in this volume provide broad coverage of important topics relating to the theory, methods, and applications of goodness-of-fit tests and model validity. The book is divided into eight parts, each of which presents topics written by expert researchers in their areas. Key features include: * state-of-the-art exposition of modern model validity methods, graphical techniques, and computer-intensive methods * systematic presentation with sufficient history and coverage of the fundamentals of the subject * exposure to recent research and a variety of open problems * many interesting real life examples for practitioners * extensive bibliography, with special emphasis on recent literature * subject index This comprehensive reference work will serve the statistical and applied mathematics communities as well as practitioners in the field.

Goodness-of-Fit Tests and Selection Methods for Operational Risk

Author : Sophie Lavaud
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Goodness-of-Fit Tests and Selection Methods for Operational Risk by : Sophie Lavaud

Download or read book Goodness-of-Fit Tests and Selection Methods for Operational Risk written by Sophie Lavaud and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Within the Loss Distribution Approach (LDA) framework, the required capital is the 99.9% Value-at-Risk of the annual loss distribution which is based on the fit of severity and frequency distributions using internal data. Supervisory guidelines for the Advanced Measurement Approaches address the issue of the sensitivity of goodness-of-fit (GOF) tests to the sample size, the number of parameters estimated and to the tail of the distributions. They suggest that a bank should consider selection methods that use the relative performance of the distributions at different confident levels. In this paper, a study is conducted to investigate selection methods such as the Bayesian Information Criterion and the violation ratio as alternatives to the GOF tests. Attention is also given to the main properties of the usual GOF tests performed in operational risks in order to figure out the cases where the sensitivity raised by the guidelines is encountered and if those tests could be reliable though.

Brazilian Review of Econometrics

Author :
Publisher :
ISBN 13 :
Total Pages : 354 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Brazilian Review of Econometrics by :

Download or read book Brazilian Review of Econometrics written by and published by . This book was released on 2006 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Measuring and Managing Operational Risk

Author : Paola Leone
Publisher : Springer
ISBN 13 : 3319694103
Total Pages : 225 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Measuring and Managing Operational Risk by : Paola Leone

Download or read book Measuring and Managing Operational Risk written by Paola Leone and published by Springer. This book was released on 2017-12-26 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers Operational Risk Management (ORM), in the current context, and its new role in the risk management field. The concept of operational risk is subject to a wide discussion also in the field of ORM’s literature, which has increased throughout the years. By analyzing different methodologies that try to integrate qualitative and quantitative data or different measurement approaches, the authors explore the methodological framework, the assumptions, statistical tool, and the main results of an operational risk model projected by intermediaries. A guide for academics and students, the book also discusses the avenue of mitigation acts, suggested by the main results of the methodologies applied. The book will appeal to students, academics, and financial supervisory and regulatory authorities.

Sample Size, Skewness and Leverage Effects in Value at Risk and Expected Shortfall Estimation

Author : Laura García Jorcano
Publisher : Ed. Universidad de Cantabria
ISBN 13 : 8481029122
Total Pages : 162 pages
Book Rating : 4.4/5 (81 download)

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Book Synopsis Sample Size, Skewness and Leverage Effects in Value at Risk and Expected Shortfall Estimation by : Laura García Jorcano

Download or read book Sample Size, Skewness and Leverage Effects in Value at Risk and Expected Shortfall Estimation written by Laura García Jorcano and published by Ed. Universidad de Cantabria. This book was released on 2020-02-24 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation and forecasting of market risk in financial assets. The goal is to compare the performance of a variety of models for the estimation and forecasting of Value at Risk (VaR) and Expected Shortfall (ES) for a set of assets of different nature: market indexes, individual stocks, bonds, exchange rates, and commodities. The three chapters of the thesis address issues of greatest interest for the measurement of risk in financial institutions and, therefore, for the supervision of risks in the financial system. They deal with technical issues related to the implementation of the Basel Committee's guidelines on some aspects of which very little is known in the academic world and in the specialized financial sector. In the first chapter, a numerical correction is proposed on the values usually estimatedwhen there is little statistical information, either because it is a financial asset (bond, investment fund...) recently created or issued, or because the nature or the structure of the asset or portfolio have recently changed. The second chapter analyzes the relevance of different aspects of risk modeling. The third and last chapter provides a characterization of the preferable methodology to comply with Basel requirements related to the backtesting of the Expected Shortfall.

Mastering Value at Risk

Author : Cormac Butler
Publisher : Financial Times/Prentice Hall
ISBN 13 : 9780273637523
Total Pages : 264 pages
Book Rating : 4.6/5 (375 download)

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Book Synopsis Mastering Value at Risk by : Cormac Butler

Download or read book Mastering Value at Risk written by Cormac Butler and published by Financial Times/Prentice Hall. This book was released on 1999 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value at Risk (VAR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. This book provides an objective view of VAR, analyzing its pitfalls and benefits.

Market Risk Analysis, Value at Risk Models

Author : Carol Alexander
Publisher : John Wiley & Sons
ISBN 13 : 0470997885
Total Pages : 503 pages
Book Rating : 4.4/5 (79 download)

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Book Synopsis Market Risk Analysis, Value at Risk Models by : Carol Alexander

Download or read book Market Risk Analysis, Value at Risk Models written by Carol Alexander and published by John Wiley & Sons. This book was released on 2009-02-09 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.

Risk Assessment

Author : Edward A. McBean
Publisher : John Wiley & Sons
ISBN 13 : 1119289068
Total Pages : 330 pages
Book Rating : 4.1/5 (192 download)

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Book Synopsis Risk Assessment by : Edward A. McBean

Download or read book Risk Assessment written by Edward A. McBean and published by John Wiley & Sons. This book was released on 2018-07-11 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the methodologies, typical mathematical notation, and assumptions used in risk assessment calculations Risk Assessment describes the methodologies, the math, and assumptions needed in risk assessment calculations and explores the various statistical analysis procedures that are used for estimating the parameters employed in risk assessment approaches. The author—a noted expert in the field—outlines a logical step-by-step approach to assessment: Identify a hazard; Analyze the risk associated with that hazard; and Determine if the elimination, or control of the risk is warranted. The text puts the focus on assessing environmental risk and describes the basics used in hypothesis testing to determine when there are differences in environmental quality at various locations. The author describes statistical techniques in approachable terms that are designed to be understandable to the non-statistician. The text downplays mathematical notation while offering clear explanations for the development of equations. It highlights applications with numerous examples of problems of censored data as they influence the use of alternative tests. In addition, the text focuses on both parametric and non-parametric procedures. This important resource: Describes in understandable terms the methodologies, typical mathematical notation, and assumptions used in risk assessment calculations Explores the fundamental calculation procedures and approaches for risk characterization Contains a wealth of example problems of interpretations of environmental monitoring results and shows how each procedure is used Includes problems at the end of each chapter that stress the fundamental concepts outlined Written for senior undergraduate and graduate students and as a course text in engineering, Risk Assessment offers a guide to the fundamental calculation procedures and methodologies for characterizing risk in clear and accessible terms.

Market Risk Analysis, Practical Financial Econometrics

Author : Carol Alexander
Publisher : John Wiley & Sons
ISBN 13 : 0470998016
Total Pages : 437 pages
Book Rating : 4.4/5 (79 download)

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Book Synopsis Market Risk Analysis, Practical Financial Econometrics by : Carol Alexander

Download or read book Market Risk Analysis, Practical Financial Econometrics written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-05-27 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.

Validation of Risk Management Models for Financial Institutions

Author : David Lynch
Publisher : Cambridge University Press
ISBN 13 : 1108756484
Total Pages : 489 pages
Book Rating : 4.1/5 (87 download)

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Book Synopsis Validation of Risk Management Models for Financial Institutions by : David Lynch

Download or read book Validation of Risk Management Models for Financial Institutions written by David Lynch and published by Cambridge University Press. This book was released on 2022-12-31 with total page 489 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial models are an inescapable feature of modern financial markets. Yet it was over reliance on these models and the failure to test them properly that is now widely recognized as one of the main causes of the financial crisis of 2007–2011. Since this crisis, there has been an increase in the amount of scrutiny and testing applied to such models, and validation has become an essential part of model risk management at financial institutions. The book covers all of the major risk areas that a financial institution is exposed to and uses models for, including market risk, interest rate risk, retail credit risk, wholesale credit risk, compliance risk, and investment management. The book discusses current practices and pitfalls that model risk users need to be aware of and identifies areas where validation can be advanced in the future. This provides the first unified framework for validating risk management models.

International Convergence of Capital Measurement and Capital Standards

Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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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:

Handbook of Financial Time Series

Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
ISBN 13 : 3540712976
Total Pages : 1045 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Handbook of Financial Time Series by : Torben Gustav Andersen

Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

Goodness-of-Fit-Techniques

Author : RalphB. D'Agostino
Publisher : Routledge
ISBN 13 : 1351444565
Total Pages : 585 pages
Book Rating : 4.3/5 (514 download)

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Book Synopsis Goodness-of-Fit-Techniques by : RalphB. D'Agostino

Download or read book Goodness-of-Fit-Techniques written by RalphB. D'Agostino and published by Routledge. This book was released on 2017-10-19 with total page 585 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conveniently grouping methods by techniques, such as chi-squared and empirical distributionfunction , and also collecting methods of testing for specific famous distributions, this usefulreference is the fust comprehensive.review of the extensive literature on the subject. It surveysthe leading methods of testing fit . .. provides tables to make the tests available . .. assessesthe comparative merits of different test procedures . .. and supplies numerical examples to aidin understanding these techniques.Goodness-of-Fit Techniques shows how to apply the techniques . .. emphasizes testing for thethree major distributions, normal, exponential, and uniform . .. discusses the handling of censoreddata .. . and contains over 650 bibliographic citations that cover the field.Illustrated with tables and drawings, this volume is an ideal reference for mathematical andapplied statisticians, and biostatisticians; professionals in applied science fields, including psychologists,biometricians , physicians, and quality control and reliability engineers; advancedundergraduate- and graduate-level courses on goodness-of-fit techniques; and professional seminarsand symposia on applied statistics, quality control, and reliability.

Flood Risk Assessment and Management

Author : Andreas H. Schumann
Publisher : Springer Science & Business Media
ISBN 13 : 9048199174
Total Pages : 281 pages
Book Rating : 4.0/5 (481 download)

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Book Synopsis Flood Risk Assessment and Management by : Andreas H. Schumann

Download or read book Flood Risk Assessment and Management written by Andreas H. Schumann and published by Springer Science & Business Media. This book was released on 2011-01-04 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: Flood catastrophes which happened world-wide have shown that it is not sufficient to characterize the hazard caused by the natural phenomenon "flood" with the well-known 3M-approach (measuring, mapping and modelling). Due to the recent shift in paradigms from a safety oriented approach to risk based planning it became necessary to consider the harmful impacts of hazards. The planning tasks changed from attempts to minimise hazards towards interventions to reduce exposure or susceptibility and nowadays to enhance the capacities to increase resilience. Scientific interest shifts more and more towards interdisciplinary approaches, which are needed to avoid disaster. This book deals with many aspects of flood risk management in a comprehensive way. As risks depend on hazard and vulnerabilities, not only geophysical tools for flood forecasting and planning are presented, but also socio-economic problems of flood management are discussed. Starting with precipitation and meteorological tools to its forecasting, hydrological models are described in their applications for operational flood forecasts, considering model uncertainties and their interactions with hydraulic and groundwater models. With regard to flood risk planning, regionalization aspects and the options to utilize historic floods are discussed. New hydrological tools for flood risk assessments for dams and reservoirs are presented. Problems and options to quantify socio-economic risks and how to consider them in multi-criteria assessments of flood risk planning are discussed. This book contributes to the contemporary efforts to reduce flood risk at the European scale. Using many real-world examples, it is useful for scientists and practitioners at different levels and with different interests.

Financial Risk Management

Author : Jimmy Skoglund
Publisher : John Wiley & Sons
ISBN 13 : 1119135516
Total Pages : 580 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Financial Risk Management by : Jimmy Skoglund

Download or read book Financial Risk Management written by Jimmy Skoglund and published by John Wiley & Sons. This book was released on 2015-10-12 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt: A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

Economic and Business Management

Author : Xiaoxia Huang
Publisher : CRC Press
ISBN 13 : 1000581586
Total Pages : 294 pages
Book Rating : 4.0/5 (5 download)

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Book Synopsis Economic and Business Management by : Xiaoxia Huang

Download or read book Economic and Business Management written by Xiaoxia Huang and published by CRC Press. This book was released on 2022-03-22 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the rapid development and drastic change of the world economy, "Digital Finance", "Internet Finance", "Science and Technology Finance" have become new hotspots, which also represent the future trend of economy development in the era of big data. Enterprises are facing more uncertainty, opportunities coexist with challenges. There are more possibilities for economic development and enterprise management to accelerate the integration of cutting-edge research results, to deepen hot topics discussion and to promote opinion exchanges among academic and business circles. The Sixth International Conference on Economic and Business Management (FEBM2021) was successfully held online on October 16-17, 2021, and aimed to provide a platform for researchers, engineers, academics as well as industry professionals from all over the world to present their latest research findings and development activities in economic and business management. These proceedings include 51 accepted articles selected from 94 submissions.