Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures

DOI10.1016/J.MATCOM.2012.06.013zbMATH Open1499.91184OpenAlexW2126930392MaRDI QIDQ2227445FDOQ2227445

Roberto Casarin, Michael McAleer, Juan-Angel Jimenez-Martin, Chialin Chang, Teodosio Pérez-Amaral

Publication date: 15 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://eprints.ucm.es/13218/1/1132.pdf

zbMATH Keywords

value-at-riskVIX futuresBayesian strategyBasel accorddaily capital charges

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Sequential Monte Carlo Methods in Practice
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• Stationarity and the existence of moments of a family of GARCH processes.
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• A simple expected volatility (SEV) index: Application to SET50 index options
• A decision rule to minimize daily capital charges in forecasting value-at-risk

Cited In (3)

• Forecasting risk via realized GARCH, incorporating the realized range
• Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
• A change-point approach for the identification of financial extreme regimes

Uses Software

• RiskMetrics

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