GFC-robust risk management under the Basel accord using extreme value methodologies

DOI10.1016/J.MATCOM.2013.08.010zbMATH Open1499.91187OpenAlexW3125193117MaRDI QIDQ2227447FDOQ2227447

Authors: Juan-Angel Jimenez-Martin, Michael McAleer, Teodosio Pérez-Amaral, Paulo Araújo Santos 

Publication date: 15 February 2021

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

Full work available at URL: http://papers.tinbergen.nl/13070.pdf

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zbMATH Keywords

value-at-risk (VaR)robust forecastsdaily capital chargesDPOT

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Statistical inference using extreme order statistics
• Title not available (Why is that?)
• Residual life time at great age
• Estimating tails of probability distributions
• 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 new class of independence tests for interval forecasts evaluation

Cited In (3)

• A new risk measure MMVaR: properties and empirical research
• Forecasting risk via realized GARCH, incorporating the realized range
• Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution

Uses Software

• CAViaR
• RiskMetrics

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