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    Wyświetlanie 1-6 z 6
    Tytuł:
    BOOSTING UNDER QUANTILE REGRESSION – CAN WE USE IT FOR MARKET RISK EVALUATION?
    Autorzy:
    Bień-Barkowska, Katarzyna
    Powiązania:
    https://bibliotekanauki.pl/articles/453152.pdf
    Data publikacji:
    2014
    Wydawca:
    Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
    Tematy:
    Boosting
    quantile regression
    GARCH models
    value-at-risk
    Opis:
    We consider boosting, i.e. one of popular statistical machine-learning meta-algorithms, as a possible tool for combining individual volatility estimates under a quantile regression (QR) framework. Short empirical exercise is carried out for the S&P500 daily return series in the period of 2004-2009. Our initial findings show that this novel approach is very promising and the in-sample goodness-of-fit of the QR model is very good. However much further research should be conducted as far as the out-of-sample quality of conditional quantile predictions is concerned.
    Źródło:
    Metody Ilościowe w Badaniach Ekonomicznych; 2014, 15, 1; 7-17
    2082-792X
    Pojawia się w:
    Metody Ilościowe w Badaniach Ekonomicznych
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Small perturbations with large effects on value-at-risk
    Autorzy:
    Esquível, Manuel
    Dimas, Luís
    Mexia, João
    Didier, Philippe
    Powiązania:
    https://bibliotekanauki.pl/articles/729834.pdf
    Data publikacji:
    2013
    Wydawca:
    Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
    Tematy:
    Gaussian perturbation
    value-at-risk
    delta-normal model
    Opis:
    We show that in the delta-normal model there exist perturbations of the Gaussian multivariate distribution of the returns of a portfolio such that the initial marginal distributions of the returns are statistically undistinguishable from the perturbed ones and such that the perturbed V@R is close to the worst possible V@R which, under some reasonable assumptions, is the sum of the V@Rs of each of the portfolio assets.
    Źródło:
    Discussiones Mathematicae Probability and Statistics; 2013, 33, 1-2; 151-169
    1509-9423
    Pojawia się w:
    Discussiones Mathematicae Probability and Statistics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk
    Autorzy:
    Chlebus, Marcin
    Powiązania:
    https://bibliotekanauki.pl/articles/1357422.pdf
    Data publikacji:
    2018-12-18
    Wydawca:
    Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
    Tematy:
    value-at-risk
    state of turbulence
    GARCH
    tail distributions
    market risk
    Opis:
    In the study, the two-step EWS-GARCH models to forecast Value-at-Risk is presented. The EWS-GARCH allows different distributions of returns or Value-at-Risk forecasting models to be used in Value-at-Risk forecasting depending on a forecasted state of the financial time series. In the study EWS-GARCH with GARCH(1,1) and GARCH(1,1), with the amendment to the empirical distribution of random errors as a Value-at-Risk model in a state of tranquillity and empirical tail, exponential or Pareto distributions used to forecast Value-at-Risk in a state of turbulence were considered. The evaluation of Value-at-Risk forecasts was based on the Value-at-Risk forecasts and the analysis of loss functions. Obtained results indicate that EWS-GARCH models may improve the quality of Value-at-Risk forecasts generated using the benchmark models. However, the choice of best assumptions for the EWS-GARCH model should depend on the goals of the Value-at-Risk forecasting model. The final selection may depend on an expected level of adequacy, conservatism and costs of the model.
    Źródło:
    Central European Economic Journal; 2017, 3, 50; 1 - 25
    2543-6821
    Pojawia się w:
    Central European Economic Journal
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Optimal Portfolio under Non-Extensive Statistical Mechanics and Value-at-Risk Constraints
    Autorzy:
    Zhao, Pan
    Wang, Jixia
    Song, Yu
    Powiązania:
    https://bibliotekanauki.pl/articles/1029999.pdf
    Data publikacji:
    2018-05
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    Tsallis entropy
    q-Gaussian distribution
    value-at-risk
    optimal portfolio
    Opis:
    In this study, we consider the optimal portfolio selection problem with a value-at-risk constraint in the non-extensive statistical mechanics framework. We propose a portfolio selection model, which is suitable not only for normal return distributions, but also for non-normal return distributions. Using Chinese stock data, under the normal and q-Gaussian return distributions, we provide empirical results. The results indicate that portfolio selections under the q-Gaussian return distributions are considerably different from those under the normal return distributions. Moreover, by using the q-Gaussian distribution, the underestimated portfolio risk can be effectively avoided.
    Źródło:
    Acta Physica Polonica A; 2018, 133, 5; 1170-1173
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    A reference point approach to bi-objective dynamic portfolio optimization
    Autorzy:
    Sawik, B.
    Powiązania:
    https://bibliotekanauki.pl/articles/375931.pdf
    Data publikacji:
    2009
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    dynamic portfolio
    mixed-integer programming
    reference point method
    bi-objective optimization
    value-at-risk
    Opis:
    The portfolio selection problem presented in this paper is formulated as a bi-objective mixed integer program. The portfolio selection problem considered is based on a dynamic model of investment, in which the investor buys and sells securities in successive investment periods. The problem objective is to dynamically allocate the wealth on different securities to optimize by reference point method the portfolio expected return and the probability that the return is not less than a required level. In computational experiments the dataset of daily quotations from the Warsaw Stock Exchange were used.
    Źródło:
    Decision Making in Manufacturing and Services; 2009, 3, 1-2; 73-85
    1896-8325
    2300-7087
    Pojawia się w:
    Decision Making in Manufacturing and Services
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Market risk, value-at-risk and exponential weighting
    Autorzy:
    Broll, Udo
    Förster, Andreas
    Powiązania:
    https://bibliotekanauki.pl/articles/2058071.pdf
    Data publikacji:
    2022-07-11
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    banks
    nfiancial intermediaries
    risk management
    market risk
    exponen tially weighted moving average
    weighting scheme
    value-at-risk
    Opis:
    Banks and nfiancial intermediaries are exposed to market risk. The aim of the paper is to explore the implications of legal requirements on market risk valuation. The focus is on the calculation of the permissible weighting factor of the concept of value-at-risk (VaR). When measuring market risk, banks and nfiancial intermediaries may deviate from equally weighting historical data in their value-at-risk calculation and instead use an exponential time series weighting. eTh use of exponential weighting in the value-at-risk calculation is very popular because it takes into account changes in market volatility (immediately) and can therefore quickly adapt to VaR. In less volatile market phases this leads to a reduction in VaR and thus to lower own funds' requirements for banks and nfiancial intermediaries. However, in the exponential weighting a high volatility in the past is quickly forgotten and the VaR can be underestimated. To prevent this banks and nfiancial intermediaries are not completely free to choose a weighting (decay) factor. The exchange rate between Polish zloty and euro is used to estimate the value-at-risk as an example and exceptions to the general legal requirements are also discussed.
    Źródło:
    Economics and Business Review; 2022, 8, 2; 80-91
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-6 z 6

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