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Computationally intensive Value at Risk calculations

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  • Weron, Rafał

Abstract

Market risks are the prospect of financial losses- or gains- due to unexpected changes in market prices and rates. Evaluating the exposure to such risks is nowadays of primary concern to risk managers in financial and non-financial institutions alike. Until late 1980s market risks were estimated through gap and duration analysis (interest rates), portfolio theory (securities), sensitivity analysis (derivatives) or "what-if" scenarios. However, all these methods either could be applied only to very specific assets or relied on subjective reasoning.

Suggested Citation

  • Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    • Handle: RePEc:zbw:caseps:200432
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    References listed on IDEAS

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    15. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    16. Aleksander Janicki & Aleksander Weron, 1994. "Can One See Alpha-stable Variables and Processes?," HSC Research Reports HSC/94/01, Hugo Steinhaus Center, Wroclaw University of Technology.
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    Cited by:

    1. Krzysztof Burnecki & Rafal Weron, 2006. "Visualization tools for insurance risk processes," HSC Research Reports HSC/06/06, Hugo Steinhaus Center, Wroclaw University of Technology.
    2. Rafał Weron, 2009. "Heavy-tails and regime-switching in electricity prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 457-473, July.
    3. Krzysztof Burnecki & Joanna Janczura & Rafal Weron, 2010. "Building Loss Models," HSC Research Reports HSC/10/03, Hugo Steinhaus Center, Wroclaw University of Technology.
    4. Pablo Su'arez-Garc'ia & David G'omez-Ullate, 2012. "Scaling, stability and distribution of the high-frequency returns of the IBEX35 index," Papers 1208.0317, arXiv.org.
    5. Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," SFB 649 Discussion Papers SFB649DP2010-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Royuela-del-Val, Javier & Simmross-Wattenberg, Federico & Alberola-López, Carlos, 2017. "libstable: Fast, Parallel, and High-Precision Computation of α-Stable Distributions in R, C/C++, and MATLAB," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 78(i01).
    7. Szymon Borak & Adam Misiorek & Rafał Weron, 2010. "Models for Heavy-tailed Asset Returns," SFB 649 Discussion Papers SFB649DP2010-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    8. Weron, Rafal & Misiorek, Adam, 2007. "Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?," MPRA Paper 2292, University Library of Munich, Germany, revised Oct 2007.
    9. Szczurek, Andrzej & Maciejewska, Monika & Wyłomańska, Agnieszka & Sikora, Grzegorz & Balcerek, Michał & Teuerle, Marek, 2016. "Discrimination of particulate matter emission sources using stochastic methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 452-466.
    10. Weron, Rafal, 2009. "Forecasting wholesale electricity prices: A review of time series models," MPRA Paper 21299, University Library of Munich, Germany.
    11. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
    12. Asad Munir & William Shaw, 2012. "Quantile Mechanics 3: Series Representations and Approximation of some Quantile Functions appearing in Finance," Papers 1203.5729, arXiv.org, revised Apr 2012.
    13. Jabłońska-Sabuka, Matylda & Teuerle, Marek & Wyłomańska, Agnieszka, 2017. "Bivariate sub-Gaussian model for stock index returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 628-637.
    14. Wyłomańska, Agnieszka, 2012. "Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5685-5696.
    15. Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
    16. Suárez-García, Pablo & Gómez-Ullate, David, 2013. "Scaling, stability and distribution of the high-frequency returns of the Ibex35 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1409-1417.
    17. Stachura Michał & Wodecka Barbara, 2022. "k-th record estimator of the scale parameter of the α-stable distribution," Statistics in Transition New Series, Polish Statistical Association, vol. 23(4), pages 203-215, December.
    18. Luc Devroye & Lancelot James, 2014. "On simulation and properties of the stable law," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 307-343, August.

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