Uncertainty in Value-at-Risk Estimates under Parametric and Non-parametric Modeling

2006 ◽  
Author(s):  
Wolfgang Aussenegg ◽  
Tatiana Miazhynskaia
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Parametric Modeling ◽  
Risk Estimates ◽  
Non Parametric

Non-Parametric Future Looking Value-at-Risk

2011 ◽  
Author(s):  
Anders Wilhelmsson ◽  
Marcus Nossman
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Non Parametric

scholarly journals Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables

2003 ◽  
Vol 33 (1) ◽  
pp. 75-92 ◽  
Author(s):  
Mario V. Wüthrich
Keyword(s):  
At Risk ◽  
Asymptotic Behaviour ◽  
Value At Risk ◽  
Random Variables ◽  
Important Application ◽  
Archimedean Copulas ◽  
Dependent Random Variables ◽  
Asymptotic Value ◽  
Risk Estimates

We estimate Value-at-Risk for sums of dependent random variables. We model multivariate dependent random variables using archimedean copulas. This structure allows one to calculate the asymptotic behaviour of extremal events. An important application of such results are Value-at-Risk estimates for sums of dependent random variables.

MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH

2008 ◽  
Vol 11 (05) ◽  
pp. 447-469 ◽  
Author(s):  
TIMOTHEOS ANGELIDIS ◽  
GEORGE SKIADOPOULOS
Keyword(s):  
At Risk ◽  
Hedge Funds ◽  
Value At Risk ◽  
Statistical Tests ◽  
Market Risk ◽  
Freight Rate ◽  
Freight Rates ◽  
Rate Risk ◽  
Risk Approach ◽  
Non Parametric

The fluctuation of shipping freight rates (freight rate risk) is an important source of market risk for all participants in the freight markets including hedge funds, commodity and energy producers. We measure the freight rate risk by the Value-at-Risk (VaR) approach. A range of parametric and non-parametric VaR methods is applied to various popular freight markets for dry and wet cargoes. Backtesting is conducted in two stages by means of statistical tests and a subjective loss function that uses the Expected Shortfall, respectively. We find that the simplest non-parametric methods should be used to measure freight rate risk. In addition, freight rate risk is greater in the wet cargoes markets. The margins in the growing freight derivatives markets should be set accordingly.

Evaluating Value-at-Risk Estimates: A Cross-Section Approach

2007 ◽  
pp. 213-225
Author(s):  
Raffaele Zenti ◽  
Massimiliano Pallotta ◽  
Claudio Marsala
Keyword(s):  
At Risk ◽  
Cross Section ◽  
Value At Risk ◽  
Risk Estimates

scholarly journals Generating Volatility Forecasts from Value at Risk Estimates

2005 ◽  
Vol 51 (5) ◽  
pp. 712-725 ◽  
Author(s):  
James W. Taylor
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Estimates

Value at Risk Estimates for Brady Bond Portfolios

2000 ◽  
Vol 10 (3) ◽  
pp. 7-23 ◽  
Author(s):  
Ron D′Vari ◽  
Juan C. Sosa
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Estimates ◽  
Bond Portfolios

scholarly journals EMD Copula based Value at Risk Estimates for Electricity Markets

2015 ◽  
Vol 55 ◽  
pp. 1318-1324 ◽  
Author(s):  
Xuan Wang ◽  
Junling Cai ◽  
Kaijian He
Keyword(s):  
At Risk ◽  
Electricity Markets ◽  
Value At Risk ◽  
Risk Estimates
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