Related papers: Can Generalized Extreme Value Model Fit the Real S…
Risk measures are important key figures to measure the adequacy of the reserves of a company. The most common risk measures in practice are Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Recently, quantum-based algorithms are…
Using daily returns of the S&P 500 stocks from 2001 to 2011, we perform a backtesting study of the portfolio optimization strategy based on the extreme risk index (ERI). This method uses multivariate extreme value theory to minimize the…
This paper develops a Bayesian Generalised Pareto Regression (GPR) model to forecast extreme losses in Indian equity markets, with a focus on the Nifty 50 index. Extreme negative returns, though rare, can cause significant financial…
In a wide variety of sequential decision making problems, it can be important to estimate the impact of rare events in order to minimize risk exposure. A popular risk measure is the conditional value-at-risk (CVaR), which is commonly…
The valuation of over-the-counter derivatives is subject to a series of valuation adjustments known as xVA, which pose additional risks for financial institutions. Associated risk measures, such as the value-at-risk of an underlying…
Predictions of the uncertainty associated with extreme events are a vital component of any prediction system for such events. Consequently, the prediction system ought to be probabilistic in nature, with the predictions taking the form of…
A new realized conditional autoregressive Value-at-Risk (VaR) framework is proposed, through incorporating a measurement equation into the original quantile regression model. The framework is further extended by employing various Expected…
We propose a new approach, termed Realized Risk Measures (RRM), to estimate Value-at-Risk (VaR) and Expected Shortfall (ES) using high-frequency financial data. It extends the Realized Quantile (RQ) approach proposed by Dimitriadis and…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
This paper introduces a global stock market volatility forecasting model that enhances forecasting accuracy and practical utility in real-world financial decision-making by integrating dynamic graph structures and encompassing all active…
Inference over tails is usually performed by fitting an appropriate limiting distribution over observations that exceed a fixed threshold. However, the choice of such threshold is critical and can affect the inferential results. Extreme…
Accurate computation of robust estimates for extremal quantiles of empirical distributions is an essential task for a wide range of applicative fields, including economic policymaking and the financial industry. Such estimates are…
This paper aims to explore the application of machine learning in forecasting Chinese macroeconomic variables. Specifically, it employs various machine learning models to predict the quarterly real GDP growth of China, and analyzes the…
Economically responsible mitigation of multivariate extreme risks-such as extreme rainfall over large areas, large simultaneous variations in many stock prices, or widespread breakdowns in transportation systems-requires assessing the…
Value-at-risk is one of the important subjects that extensively used by researchers and practitioners for measuring and managing uncertainty in financial markets. Although value-at-risk is a common risk control instrument, but there are…
The conditional value-at-risk (CVaR) is a useful risk measure in fields such as machine learning, finance, insurance, energy, etc. When measuring very extreme risk, the commonly used CVaR estimation method of sample averaging does not work…
Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observed and increase the probability of large losses affecting…
Value-at-Risk (VaR) is an institutional measure of risk favored by financial regulators. VaR may be interpreted as a quantile of future portfolio values conditional on the information available, where the most common quantile used is 95%.…
Maximum-type statistics of certain functions of the sample covariance matrix of high-dimensional vector time series are studied to statistically confirm or reject the null hypothesis that a data set has been collected under normal…
Writing data in parallel is a common operation in some computing environments and a good proxy for a number of other parallel processing patterns. The duration of time taken to write data in large-scale compute environments can vary…