Related papers: On Value at Risk for foreign exchange rates - the …
We extend the "probability-equivalent level of VaR and CoVaR" (PELCoV) methodology to accommodate bivariate risks modeled by a Student-t copula, relaxing the strong dependence assumptions of earlier approaches and enhancing the framework's…
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes…
This study examines the interdependence between cryptocurrencies and international financial indices, such as MSCI World and MSCI Emerging Markets. We compute the value at risk, expected shortfall (ES), and range value at risk (RVaR) and…
In this paper, we investigate risk measures such as value at risk (VaR) and the conditional tail expectation (CTE) of the extreme (maximum and minimum) and the aggregate (total) of two dependent risks. In finance, insurance and the other…
A positive correlation between exposure and counterparty credit risk gives rise to the so-called Wrong-Way Risk (WWR). Even after a decade of the financial crisis, addressing WWR in both sound and tractable ways remains challenging.…
In this paper we discuss a general methodology to compute the market risk measure over long time horizons and at extreme percentiles, which are the typical conditions needed for estimating Economic Capital. The proposed approach extends the…
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate…
Value-at-Risk and its conditional allegory, which takes into account the available information about the economic environment, form the centrepiece of the Basel framework for the evaluation of market risk in the banking sector. In this…
This paper studies multivariate Value-at-Risk (VaR) for financial portfolios with a focus on modeling dependence structures through Archimedean copulas. Using the generator representation of Archimedean copulas, we derive explicit…
Copula-based Conditional Value at Risk (CCVaR) is defined as an alternative version of the classical Conditional Value at Risk (CVaR) for multivariate random vectors intended to be real-valued. We aim to generalize CCVaR to several…
Mining companies to properly manage their operations and be ready to make business decisions, are required to analyze potential scenarios for main market risk factors. The most important risk factors for KGHM, one of the biggest companies…
We develop an extreme value framework for CoVaR centered on $v(q \mid p ; C)$, the copula-adjusted probability level, or equivalently, the CoVaR on the uniform (0,1) scale. We characterize the possible tail regimes of $v(q \mid p ; C)$…
The quanto option is a cross-currency derivative in which the pay-off is given in foreign currency and then converted to domestic currency, through a constant exchange rate, used for the conversion and determined at contract inception.…
Designing dynamic portfolio insurance strategies under market conditions switching between two or more regimes is a challenging task in financial economics. Recently, a promising approach employing the value-at-risk (VaR) measure to assign…
This work studies the valuation of currency options in markets suffering from a financial crisis. We consider a European option where the underlying asset is a foreign currency. We assume that the value of the underlying asset is a…
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be varying over time. Because the loading matrix in the VEC model…
In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability $\alpha$, the $100\alpha\%$ VaR is…
The role of collateral in derivative pricing has evolved beyond credit risk mitigation, particularly following the global financial crisis, when funding costs and basis spreads became central to valuation practices. This development…
In this paper, we propose a methodology based on piece-wise homogeneous Markov chain for credit ratings and a multivariate model of the credit spreads to evaluate the financial risk in European Union (EU). Two main aspects are considered:…
A multivariate risk analysis for VaR and CVaR using different copula families is performed on historical financial time series fitted with DCC-GARCH models. A theoretical background is provided alongside a comparison of goodness-of-fit…