Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy
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- Cyril Caillault, Dominique Guégan, 2009. "Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy," Frontiers in Finance and Economics, SKEMA Business School, vol. 6(1), pages 26-50, April.
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Citations
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Cited by:
- D. Guegan & J. Zhang, 2010.
"Change analysis of a dynamic copula for measuring dependence in multivariate financial data,"
Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 421-430.
- Dominique Guegan & Jing Zhang, 2006. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00189141, HAL.
- Dominique Guégan & Jing Zhang, 2006. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Cahiers de la Maison des Sciences Economiques b06090, Université Panthéon-Sorbonne (Paris 1).
- Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368334, HAL.
- Dominique Gu'egan & Wayne Tarrant, 2011. "On the Necessity of Five Risk Measures," Papers 1111.4414, arXiv.org.
- Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Post-Print halshs-00368334, HAL.
- Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," PSE-Ecole d'économie de Paris (Postprint) halshs-00368334, HAL.
- Cyril Caillault, Dominique Guégan, 2009.
"Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy,"
Frontiers in Finance and Economics, SKEMA Business School, vol. 6(1), pages 26-50, April.
- Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00375765, HAL.
- Yali Dou & Haiyan Liu & Georgios Aivaliotis, 2019. "Dynamic Dependence Modeling in financial time series," Papers 1908.05130, arXiv.org.
- Dominique Gu/'egan & Wayne Tarrant, 2011. "Viewing Risk Measures as Information," Papers 1111.4417, arXiv.org.
- Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Value at Risk; Expected Shortfall; Copulas; Risk management; GARCH models; Markov switching models;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CSE-2009-04-25 (Economics of Strategic Management)
- NEP-FOR-2009-04-25 (Forecasting)
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