Adaptive forecasting and financial risk estimation
نویسندگان
چکیده
منابع مشابه
Essays on Financial Risk Modeling and Forecasting
Essays on Financial Risk Modeling and Forecasting
متن کاملEstimation Risk in Financial Risk Management
Value-at-Risk (VaR) is increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the precision of typical VaR techniques. The purpose of this paper is to assess the precision of common dynamic models and to quantify the magnitude of the estimation error by constructing confidence interval...
متن کاملThe Two-sided Weibull Distribution and Forecasting Financial Tail Risk
A two-sided Weibull is developed to model the conditional financial return distribution, for the purpose of forecasting Value at Risk (VaR) and conditional VaR. A range of conditional return distributions are combined with four volatility specifications to forecast tail risk in four international markets, two exchange rates and one individual asset series, over a four year forecast period that ...
متن کاملHow Relevant is Volatility Forecasting for Financial Risk Management?
It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however, varies with horizon, and different horizons are relevant in different applications. Moreover, existing assessments of volatility forecastability are plagued b...
متن کاملMeasuring and Forecasting Financial Stability
This paper explores the relationship between the health of the financial sector and the rest of the economy. We develop an indicator of financial sector health using a distance-to-default measure based on a Merton-style option pricing model. Our measure spans over three decades and appears to capture periods when financial sector institutions were strong and when they were weak. We then use vec...
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ژورنال
عنوان ژورنال: System research and information technologies
سال: 2020
ISSN: 2308-8893,1681-6048
DOI: 10.20535/srit.2308-8893.2020.1.04