Risk Measurement and Portfolio Risk Modelling Using Applications of Vine Copulas and Down-Side Risk Measures

2013 ◽  
Author(s):  
David E. Allen ◽  
Abhay Kumar Singh
Keyword(s):  
Risk Measures ◽  
Risk Measurement ◽  
Portfolio Risk ◽  
Risk Modelling ◽  
Vine Copulas

scholarly journals Risk Measurement and Risk Modelling Using Applications of Vine Copulas

2017 ◽  
Vol 9 (10) ◽  
pp. 1762 ◽  
Author(s):  
David Allen ◽  
Michael McAleer ◽  
Abhay Singh
Keyword(s):  
Risk Measurement ◽  
Risk Modelling ◽  
Vine Copulas

Impact of factor models on portfolio risk measures: a structural approach

2012 ◽  
Vol 8 (2) ◽  
pp. 47-79 ◽  
Author(s):  
Marcos Escobar ◽  
Tobias Frielingsdorf ◽  
Rudi Zagst
Keyword(s):  
Risk Measures ◽  
Factor Models ◽  
Structural Approach ◽  
Portfolio Risk

scholarly journals Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: an Application to Cryptocurrencies

2020 ◽  
Author(s):  
Inés Jiménez ◽  
Andrés Mora-Valencia ◽  
Trino-Manuel Ñíguez ◽  
Javier Perote
Keyword(s):  
Risk Assessment ◽  
Value At Risk ◽  
Risk Measures ◽  
Joint Estimation ◽  
Portfolio Risk ◽  
Conditional Correlation ◽  
Confidence Levels ◽  
Stepwise Procedure ◽  
Parsimonious Model ◽  
Two Step Estimation

The semi-nonparametric (SNP) modeling of the return distribution has been proved to be a flexible and accurate methodology for portfolio risk management that allows two-step estimation of the dynamic conditional correlation (DCC) matrix. For this SNP-DCC model, we propose a stepwise procedure to compute pairwise conditional correlations under bivariate marginal SNP distributions, overcoming the curse of dimensionality. The procedure is compared to the assumption of Dynamic Equicorrelation (DECO), which is a parsimonious model when correlations among the assets are not significantly different but requires joint estimation of the multivariate SNP model. The risk assessment of both methodologies is tested for a portfolio on cryptocurrencies by implementing backtesting techniques and for different risk measures: Value-at-Risk, Expected Shortfall and Median Shortfall. The results support our proposal showing that the SNP-DCC model has better performance for a smaller confidence level than the SNP-DECO model, although both models perform similarly for higher confidence levels.

scholarly journals Robustness in the Optimization of Risk Measures

2021 ◽  
Author(s):  
Paul Embrechts ◽  
Alexander Schied ◽  
Ruodu Wang
Keyword(s):  
Value At Risk ◽  
Optimization Problem ◽  
Financial Regulation ◽  
Optimization Problems ◽  
Risk Measures ◽  
Risk Measurement ◽  
Loss Functions ◽  
Insurance Regulation ◽  
Convex Risk Measures ◽  
Comparative Advantages

We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk-measurement-related optimization problem is robust, which we call “robustness against optimization.” The new notion is studied for various classes of risk measures and expected utility and loss functions. Motivated by practical issues from financial regulation, special attention is given to the two most widely used risk measures in the industry, Value-at-Risk (VaR) and Expected Shortfall (ES). We establish that for a class of general optimization problems, VaR leads to nonrobust optimizers, whereas convex risk measures generally lead to robust ones. Our results offer extra insight on the ongoing discussion about the comparative advantages of VaR and ES in banking and insurance regulation. Our notion of robustness is conceptually different from the field of robust optimization, to which some interesting links are derived.

scholarly journals Risk Measures and Efficient use of Capital

2009 ◽  
Vol 39 (1) ◽  
pp. 101-116 ◽  
Author(s):  
Philippe Artzner ◽  
Freddy Delbaen ◽  
Pablo Koch-Medina
Keyword(s):  
Foreign Currency ◽  
Risk Measures ◽  
Minimum Cost ◽  
Risk Measurement ◽  
Optimal Combination ◽  
Foreign Asset ◽  
Coherent Risk Measures ◽  
Coherent Risk ◽  
Capital Efficiency

AbstractThis paper is concerned with clarifying the link between risk measurement and capital efficiency. For this purpose we introduce risk measurement as the minimum cost of making a position acceptable by adding an optimal combination of multiple eligible assets. Under certain assumptions, it is shown that these risk measures have properties similar to those of coherent risk measures. The motivation for this paper was the study of a multi-currency setting where it is natural to use simultaneously a domestic and a foreign asset as investment vehicles to inject the capital necessary to make an unacceptable position acceptable. We also study what happens when one changes the unit of account from domestic to foreign currency and are led to the notion of compatibility of risk measures. In addition, we aim to clarify terminology in the field.

Contagion effect on bond portfolio risk measures in a hybrid credit risk model

2014 ◽  
Vol 11 (2) ◽  
pp. 131-139 ◽  
Author(s):  
Mathieu Boudreault ◽  
Geneviève Gauthier ◽  
Tommy Thomassin
Keyword(s):  
Credit Risk ◽  
Risk Model ◽  
Risk Measures ◽  
Contagion Effect ◽  
Portfolio Risk ◽  
Bond Portfolio ◽  
Credit Risk Model

Portfolio Risk Measurement

1999 ◽  
Vol 2 (1) ◽  
pp. 34-42 ◽  
Author(s):  
Sam Y. Chung
Keyword(s):  
Risk Measurement ◽  
Portfolio Risk
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