Nothing Special   »   [go: up one dir, main page]
create a website
Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution. (2014). Isogai, Takashi.
In: Bank of Japan Working Paper Series.
RePEc:boj:bojwps:wp14e01.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 37

References cited by this document

Cocites: 42

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Risk Aggregation with Copula for Banking Industry. (2015). Yoshiba, Toshinao .
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:15-e-01.

    Full description at Econpapers || Download paper

  2. Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective. (2014). Bianchi, Michele Leonardo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_957_14.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Alexander, C. and Ledermann, D., (2012). “ROM Simulation: Applications to Stress Testing and VaR.” SSRN Electronic Journal.

  2. Alexander, C. and Sheedy, E., (2008). “Developing a stress testing framework based on market risk models.” Journal of Banking & Finance, vol.32(10), pp.2220–2236.

  3. Ando, Y., (2004). “VaR by Historical Simulation: Practical Solutions for Non-Stationarity of Market Returns (in Japanese).” Monetary and Economic Studies, vol.23(2), pp.1–42.
    Paper not yet in RePEc: Add citation now
  4. Artzner, P., Delbaen, F., Eber, J.M. and Heath, D., (1999). “Coherent measures of risk.” Mathematical Finance, vol.9(3), pp.203–228.
    Paper not yet in RePEc: Add citation now
  5. Balkema, A. and DeHaan, L., (1974). “Residual life time at great age.” The Annals of Probability, vol.2(5), pp.792–804.
    Paper not yet in RePEc: Add citation now
  6. Barone-Adesi, G., (2008). “A GARCH option pricing model with filtered historical simulation.” Review of Financial Studies, vol.21(3), pp.1223–1258.
    Paper not yet in RePEc: Add citation now

  7. Barone-Adesi, G., Giannopoulos, K. and Vosper, L., (2002). “Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS).” European Financial Management, vol.8(1), pp.31–58.

  8. Basel Committee on Banking Supervision, (2012). “Fundamental review of the trading book -consultative document.” Borak, S., Misiorek, A. and Weron, R., (2011). “Models for heavy-tailed asset returns.” In P. Cizek, ed. Statistical Tools for Finance and Insurance. Berlin Heidelberg: Springer.

  9. Cai, J., Einmahl, J.H.J., de Haan, L. and Zhou, C., (2012). “Estimation of the Marginal Expected Shortfall: The Mean When a Related Variable is Extreme.” CentER Discussion Paper Series, 2012080.

  10. Chen, S.X. and Tang, C.Y., (2005). “Nonparametric Inference of Value-at-Risk for Dependent Financial Returns.” Journal of Financial Econometrics, vol.3(2), pp.227–255.
    Paper not yet in RePEc: Add citation now
  11. Chen, S.X., (2007). “Nonparametric Estimation of Expected Shortfall.” Journal of Financial Econometrics, vol.6(1), pp.87–107.
    Paper not yet in RePEc: Add citation now
  12. Daníelsson, J. and Morimoto, Y., (2000). “Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market.” Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol.18(2), pp.25–48.
    Paper not yet in RePEc: Add citation now
  13. Dowd, K., (2000). “Assessing VaR Accuracy.” Derivatives Quarterly, vol.6(3), pp.61–63.
    Paper not yet in RePEc: Add citation now
  14. Gilli, M. and Këllezi, E., (2006). “An application of extreme value theory for measuring risk.” Computational Economics, vol.27(1), pp.1–23.
    Paper not yet in RePEc: Add citation now
  15. Hull, J. and White, A., (1998). “Incorporating volatility updating into the historical simulation method for value-at-risk.” Journal of Risk, vol.1(1), pp.5–19.
    Paper not yet in RePEc: Add citation now

  16. Inui, K., Kijima, M. and Kitano, A., (2005). “VaR is subject to a significant positive bias.” Statistics & Probability Letters, vol.72(4), pp.299–311.

  17. Inui, T., (2003). “Bias of VaR: Correction by Interpolation and Extrapolation (in Japanese).” Kyoto University Research Information Repository, vol.27, pp.19–26.
    Paper not yet in RePEc: Add citation now
  18. K. Härdle, and Y. Mori, eds. Handbook of Computational Statistics. Berlin Heidelberg: Springer, pp. 1025–1059.
    Paper not yet in RePEc: Add citation now
  19. Kawata, R. and Kijima, M., (2007). “Value-at-risk in a market subject to regime switching.” Quantitative Finance, vol.7(6), pp.609–619.
    Paper not yet in RePEc: Add citation now
  20. Kim, J., (2010). “Bias correction for estimated distortion risk measure using the bootstrap.” Insurance: Mathematics and Economics, vol.47(2), pp.198–205.
    Paper not yet in RePEc: Add citation now
  21. Koponen, I., (1995). “Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process.” Physical Review E, vol.52(1), pp.1197–1199.
    Paper not yet in RePEc: Add citation now
  22. Kunitomo, N. and Owada, T., (2006). “Empirical likelihood estimation of Levy processes.” Graduate School of Economics, University of Tokyo Discussion Paper, CIRJE-F-272.
    Paper not yet in RePEc: Add citation now
  23. Makarov, M., (2006). “Extreme value theory and high quantile.” Journal of Operational Risk, vol.1(2), pp.51–57.
    Paper not yet in RePEc: Add citation now
  24. Mandelbrot, B., (1963). “The variation of certain speculative prices.” Journal of Business, vol.36(4), pp.394–419.
    Paper not yet in RePEc: Add citation now
  25. Mantegna, R. and Stanley, H., (2000). An Introduction to Econophysics: Correlations and Complexity in Finance, Cambridge: Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  26. McNeil, A., Frey, R. and Embrechts, P., (2005). Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton: Princeton University Press.
    Paper not yet in RePEc: Add citation now

  27. McNeil, A.J. and Frey, R., (2000). “Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach.” Journal of Empirical Finance, vol.7(3-4), pp.271–300.

  28. Misiorek, A. and Rafael, W., (2012). “Heavy-tailed distributions in VaR calculations.” In J. E. Gentle, W.

  29. Nolan, J.P., (2013). “An introduction to stable distributions.” In Stable Distributions - Models for Heavy Tailed Data; In progress, Chapter 1 online at http://academic2.american.edu/~jpnolan. Boston: Birkhauser.
    Paper not yet in RePEc: Add citation now
  30. Pickands, J., (1975). “Statistical inference using extreme order statistics.” Annals of Statistics, vol.3, pp.119–131.
    Paper not yet in RePEc: Add citation now
  31. Rachev, S., Kim, Y., Bianchi, M. and Fabozzi, F., (2011). Financial Models with Lévy Processes and Volatility Clustering, New Jersey: Wiley.
    Paper not yet in RePEc: Add citation now
  32. Scaillet, O., (2005). “Nonparametric estimation of conditional expected shortfall.” Insurance and Risk Management Journal, vol.74, pp.639–660.
    Paper not yet in RePEc: Add citation now
  33. Sheather, S.J. and Marron, J.S., (1990). “Kernel Quantile Estimators.” Journal of the American Statistical Association, vol.85(410), p.410.
    Paper not yet in RePEc: Add citation now
  34. Silverman, B.W., (1986). Density Estimation for Statistics and Data Analysis, New York: Chapman & Hall.
    Paper not yet in RePEc: Add citation now

  35. Yamai, Y. and Yoshiba, T., (2002). “Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization.” Monetary and Economic Studies, vol.20(1), pp.87–122.

  36. Yoshiba, T., (2013). “Risk Aggregation by Copula with Stressed Condition.” Bank of Japan Working Paper, 13-E-12.
    Paper not yet in RePEc: Add citation now
  37. Yu, K., Ally, A. and Yang, S., (2010). “Kernel quantile-based estimation of expected shortfall.” Journal of Risk, vol.12(4), pp.15–32.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Correlation scenarios and correlation stress testing. (2023). Woebbeking, F ; Packham, N.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:205:y:2023:i:c:p:55-67.

    Full description at Econpapers || Download paper

  2. Estimating tail-risk using semiparametric conditional variance with an application to meme stocks. (2022). Khanom, Najrin ; Daddona, Stefano.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:82:y:2022:i:c:p:241-260.

    Full description at Econpapers || Download paper

  3. Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993.

    Full description at Econpapers || Download paper

  4. Return Based Risk Measures for Non-Normally Distributed Returns: An Alternative Modelling Approach. (2021). Murahwa, Yvonne T ; Samunderu, Eyden.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:540-:d:676017.

    Full description at Econpapers || Download paper

  5. Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

    Full description at Econpapers || Download paper

  6. Extensions of Random Orthogonal Matrix Simulation for Targetting Kollo Skewness. (2020). Wei, Wei ; Meng, Xiaochun ; Alexander, Carol.
    In: Papers.
    RePEc:arx:papers:2004.06586.

    Full description at Econpapers || Download paper

  7. A factor-model approach for correlation scenarios and correlation stress testing. (2019). Woebbeking, C F ; Packham, N.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:101:y:2019:i:c:p:92-103.

    Full description at Econpapers || Download paper

  8. A new macro stress testing approach for financial realignment in the Eurozone. (2019). Apergis, Emmanuel.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:61:y:2019:i:c:p:52-80.

    Full description at Econpapers || Download paper

  9. Correlation Under Stress In Normal Variance Mixture Models. (2018). Packham, Natalie ; Kalkbrener, Michael.
    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2018035.

    Full description at Econpapers || Download paper

  10. Comparison of stress testing models for regulatory purposes by institutions using the IRBA method. (2018). Kova, Michal.
    In: Český finanční a účetní časopis.
    RePEc:prg:jnlcfu:v:2018:y:2018:i:3:id:516:p:41-56.

    Full description at Econpapers || Download paper

  11. A network approach to unravel asset price comovement using minimal dependence structure. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:91:y:2018:i:c:p:119-132.

    Full description at Econpapers || Download paper

  12. An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

    Full description at Econpapers || Download paper

  13. Market risk management in a post-Basel II regulatory environmentAuthor-Name: Drenovak, Mikica. (2017). Ivanovi, Milo ; Jelic, Ranko ; Rankovi, Vladimir ; Uroevi, Branko .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:257:y:2017:i:3:p:1030-1044.

    Full description at Econpapers || Download paper

  14. Regime switching model for financial data: Empirical risk analysis. (2016). Salhi, Khaled ; Lejay, Antoine ; Navet, Nicolas ; Deaconu, Madalina ; Champagnat, Nicolas.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:461:y:2016:i:c:p:148-157.

    Full description at Econpapers || Download paper

  15. Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests. (2016). Koliai, Lyes .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:70:y:2016:i:c:p:1-22.

    Full description at Econpapers || Download paper

  16. Validation of default probability models: A stress testing approach. (2016). Arismendi Zambrano, Juan ; Tsukahara, Fabio Yasuhiro ; Sobreiro, Vinicius Amorim ; Kimura, Herbert.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:47:y:2016:i:c:p:70-85.

    Full description at Econpapers || Download paper

  17. The Spectral Stress VaR (SSVaR). (2015). Li, Kehan ; Hassani, Bertrand ; Guegan, Dominique.
    In: Working Papers.
    RePEc:ven:wpaper:2015:17.

    Full description at Econpapers || Download paper

  18. The Spectral Stress VaR (SSVaR). (2015). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:15052.

    Full description at Econpapers || Download paper

  19. The Spectral Stress VaR (SSVaR). (2015). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K.
    In: Post-Print.
    RePEc:hal:journl:halshs-01169537.

    Full description at Econpapers || Download paper

  20. The Spectral Stress VaR (SSVaR). (2015). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K..
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01169537.

    Full description at Econpapers || Download paper

  21. Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets. (2015). Karagiannidis, Iordanis ; Wilford, Sykes D..
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:25:y:2015:i:c:p:19-26.

    Full description at Econpapers || Download paper

  22. A comparison of Expected Shortfall estimation models. (2015). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:78:y:2015:i:c:p:14-47.

    Full description at Econpapers || Download paper

  23. Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse. (2015). Dionne, Georges ; Zhou, Xiaozhou ; Pacurar, Maria .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:202-219.

    Full description at Econpapers || Download paper

  24. Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates. (2015). Siburg, Karl Friedrich ; Weiß, Gregor N. F., ; Stoimenov, Pavel .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:54:y:2015:i:c:p:129-140.

    Full description at Econpapers || Download paper

  25. Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?. (2015). Wied, Dominik ; Berens, Tobias ; Weiß, Gregor N. F., .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:32:y:2015:i:c:p:135-152.

    Full description at Econpapers || Download paper

  26. Stress-testing for portfolios of commodity futures. (2015). Paraschiv, Florentina ; AndrieÈ™, Alin Marius ; Mudry, Pierre-Antoine .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:50:y:2015:i:c:p:9-18.

    Full description at Econpapers || Download paper

  27. Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution. (2014). Isogai, Takashi.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:wp14e01.

    Full description at Econpapers || Download paper

  28. On downside risk predictability through liquidity and trading activity: A dynamic quantile approach. (2013). Rubia, Antonio ; Sanchis-Marco, Lidia .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:1:p:202-219.

    Full description at Econpapers || Download paper

  29. Forecasting VaR using analytic higher moments for GARCH processes. (2013). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:30:y:2013:i:c:p:36-45.

    Full description at Econpapers || Download paper

  30. Stress testing correlation matrices for risk management. (2013). Asai, Manabu ; Wong, Jerry ; So, Mike K. P., .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:310-322.

    Full description at Econpapers || Download paper

  31. Translating financial integration into correlation risk: A weekly reportings viewpoint for the volatility behavior of stock markets. (2013). Gatfaoui, Hayette.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:30:y:2013:i:c:p:776-791.

    Full description at Econpapers || Download paper

  32. On monitoring financial stress index with extreme value theory. (2012). Dridi, Amira ; Limam, Mohamed ; el Ghourabi, Mohamed .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:3:p:329-339.

    Full description at Econpapers || Download paper

  33. THE USE OF A VALUE AT RISK MEASURE FOR THE ANALYSIS OF BANK INTEREST MARGINS. (2012). Gemzik-Salwach, Agata .
    In: e-Finanse.
    RePEc:rze:efinan:v:8:y:2012:i:4:p:15-29.

    Full description at Econpapers || Download paper

  34. Stress testing credit risk: The Great Depression scenario. (2012). Varotto, Simone.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:12:p:3133-3149.

    Full description at Econpapers || Download paper

  35. Multivariate stress scenarios and solvency. (2012). McNeil, Alexander J. ; Smith, Andrew D..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:50:y:2012:i:3:p:299-308.

    Full description at Econpapers || Download paper

  36. Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures. (2011). Weiß, Gregor N. F., .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:51:y:2011:i:2:p:173-188.

    Full description at Econpapers || Download paper

  37. Comparing simulation models for market risk stress testing. (2011). Basu, Sanjay .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:213:y:2011:i:1:p:329-339.

    Full description at Econpapers || Download paper

  38. Identifying Vulnerabilities in Systemically Important Financial Institutions in a Macro-Financial Linkages Framework. (2010). Sun, Tao.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:7:y:2010:i:2:p:77-103.

    Full description at Econpapers || Download paper

  39. How resilient is the German banking system to macroeconomic shocks?. (2010). Dovern, Jonas ; Meier, Carsten-Patrick ; Vilsmeier, Johannes.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:8:p:1839-1848.

    Full description at Econpapers || Download paper

  40. The level and quality of Value-at-Risk disclosure by commercial banks. (2010). Smith, Daniel ; Perignon, Christophe.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:2:p:362-377.

    Full description at Econpapers || Download paper

  41. Integrated models of capital adequacy - Why banks are undercapitalised. (2010). McNeil, Alexander J. ; Kretzschmar, Gavin ; Kirchner, Axel .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:12:p:2838-2850.

    Full description at Econpapers || Download paper

  42. A framework for assessing the systemic risk of major financial institutions. (2009). Zhou, Hao ; Zhu, Haibin ; Huang, Xin.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:11:p:2036-2049.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-18 07:47:50 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.