scholarly journals Value-at-Risk and Backtesting with the Aparch Model and the Standardized Pearson Type IV Distribution

2016 ◽  
Author(s):  
Stavros Stavroyiannis
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Type Iv ◽  
Pearson Type ◽  
Pearson Type Iv

Econometric modeling and value-at-risk using the Pearson type-IV distribution

2012 ◽  
Vol 22 ◽  
pp. 10-17 ◽  
Author(s):  
S. Stavroyiannis ◽  
I. Makris ◽  
V. Nikolaidis ◽  
L. Zarangas
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Econometric Modeling ◽  
Type Iv ◽  
Pearson Type ◽  
Pearson Type Iv

Value-at-risk for the long and short trading position with the Pearson type-IV distribution

2013 ◽  
Vol 15 (1) ◽  
pp. 14 ◽  
Author(s):  
Stavros Stavroyiannis ◽  
Ilias Makris ◽  
Vasilis Nikolaidis ◽  
Leonidas Zarangas
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Type Iv ◽  
Pearson Type ◽  
Pearson Type Iv

scholarly journals Out of sample value-at-risk and backtesting with the standardized pearson type-IV skewed distribution

2013 ◽  
Vol 60 (2) ◽  
pp. 231-247 ◽  
Author(s):  
Stavros Stavroyiannis ◽  
Leonidas Zarangas
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Skewed Distribution ◽  
Financial Analyst ◽  
Type Iv ◽  
Pearson Type ◽  
Out Of Sample ◽  
Sample Testing ◽  
T Distribution ◽  
Pearson Type Iv

This paper studies the efficiency of an econometric model where the volatility is modeled by a GARCH (1,1) process, and the innovations follow a standardized form of the Pearson type-IV distribution. The performance of the model is examined by in sample and out of sample testing, and the accuracy is explored by a variety of Value-at-Risk methods, the success/failure ratio, the Kupiec-LR test, the independence and conditional coverage tests of Christoffersen, the expected shortfall measures, and the dynamic quantile test of Engle and Manganelli. Overall, the proposed model is a valid and accurate model performing better than the skewed Student-t distribution, providing the financial analyst with a good candidate as an alternative distributional scheme.

Value-at-risk and related measures for the Bitcoin

2018 ◽  
Vol 19 (2) ◽  
pp. 127-136 ◽  
Author(s):  
Stavros Stavroyiannis
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Measures ◽  
Capital Allocation ◽  
Capital Requirements ◽  
Spot Price ◽  
Content Type ◽  
Type Iv ◽  
Pearson Type ◽  
Standard And Poor's

Purpose The purpose of this paper is to examine the value-at-risk and related measures for the Bitcoin and to compare the findings with Standard and Poor’s SP500 Index, and the gold spot price time series. Design/methodology/approach A GJR-GARCH model has been implemented, in which the residuals follow the standardized Pearson type-IV distribution. A large variety of value-at-risk measures and backtesting criteria are implemented. Findings Bitcoin is a highly volatile currency violating the value-at-risk measures more than the other assets. With respect to the Basel Committee on Banking Supervision Accords, a Bitcoin investor is subjected to higher capital requirements and capital allocation ratio. Practical implications The risk of an investor holding Bitcoins is measured and quantified via the regulatory framework practices. Originality/value This paper is the first comprehensive approach to the risk properties of Bitcoin.

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