scholarly journals Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula

2020 ◽  
Vol 2020 ◽  
pp. 1-7
Author(s):  
Vini Yves Bernadin Loyara ◽  
Remi Guillaume Bagré ◽  
Diakarya Barro
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stochastic Approach ◽  
Taylor Formula ◽  
Profit Function ◽  
Time Varying ◽  
Financial Loss ◽  
Higher Dimensional ◽  
Conditional Copula ◽  
Multivariate Copula

The aim of this paper is to provide an approximation of the value-at-risk of the multivariate copula associated with financial loss and profit function. A higher dimensional extension of the Taylor–Young formula is used for this estimation in a Euclidean space. Moreover, a time-varying and conditional copula is used for the modeling of the VaR.

scholarly journals Value-at-Risk Modeling with Conditional Copulas in Euclidean Space Framework

2019 ◽  
Vol 12 (1) ◽  
pp. 194-207 ◽  
Author(s):  
Vini Yves Bernadin Loyara ◽  
Diakarya Barro
Keyword(s):  
At Risk ◽  
Euclidean Space ◽  
Value At Risk ◽  
Scalar Product ◽  
Time Varying ◽  
Risk Modeling ◽  
Analytic Relation ◽  
Conditional Copula

This paper aims to establish an analytic relation between a time-varying conditional copula and the value at risk modeled by the underlying. Specically, under the asumption that the space is euclidean we use scalar product to clarify a link between the conditional copula varying with time and norms. It is then established a new expression on the geometric yield

scholarly journals Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 394
Author(s):  
Adeel Nasir ◽  
Kanwal Iqbal Khan ◽  
Mário Nuno Mata ◽  
Pedro Neves Mata ◽  
Jéssica Nunes Martins
Keyword(s):  
At Risk ◽  
Asset Pricing ◽  
Stock Returns ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Time Varying ◽  
Pricing Models ◽  
Asset Pricing Model ◽  
Asset Pricing Models ◽  
Market Beta

This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus low VaR and ES portfolios as a systematic risk factor in one factor, three-factor, and five-factor asset pricing model. Furthermore, the study introduced the six-factor model, deploying VaR and ES as the idiosyncratic risk factor. The theoretical and empirical alteration of traditional asset pricing models is the study’s contributions. This study reported a strong positive relationship of traditional market beta, value at risk, and expected shortfall. Market beta pertains its superiority in estimating the time-varying stock returns. Furthermore, value at risk and expected shortfall strengthen the effects of traditional beta impact on stock returns, signifying the proposed six-factor asset pricing model. Investment and profitability factors are redundant in conventional asset pricing models.

Sign in / Sign up

Export Citation Format

Share Document