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Evaluating Value at Risk Methodologies: Accuracy versus Computational Time

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Cited by:

  1. Neil D. Pearson & Charles Smithson, 2002. "VaR," Review of Financial Economics, John Wiley & Sons, vol. 11(3), pages 175-189.
  2. Pearson, Neil D. & Smithson, Charles, 2002. "VaR: The state of play," Review of Financial Economics, Elsevier, vol. 11(3), pages 175-189.
  3. Lehar, Alfred & Scheicher, Martin & Schittenkopf, Christian, 2002. "GARCH vs. stochastic volatility: Option pricing and risk management," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 323-345, March.
  4. Kiani, Khurshid M., 2011. "Relationship between portfolio diversification and value at risk: Empirical evidence," Emerging Markets Review, Elsevier, vol. 12(4), pages 443-459.
  5. Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L., 2017. "Mean-VaR portfolio optimization: A nonparametric approach," European Journal of Operational Research, Elsevier, vol. 260(2), pages 751-766.
  6. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure," Post-Print halshs-01277880, HAL.
  7. Roman V. Ivanov, 2018. "A Credit-Risk Valuation under the Variance-Gamma Asset Return," Risks, MDPI, vol. 6(2), pages 1-25, May.
  8. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01277880, HAL.
  9. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524.
  10. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2022. "Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion," Annals of Operations Research, Springer, vol. 313(2), pages 691-712, June.
  11. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure," Documents de travail du Centre d'Economie de la Sorbonne 16006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  12. Jose A. Lopez, 1999. "Methods for evaluating value-at-risk estimates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-17.
  13. J. ANNAERT & Crispiniano Garcia Joao Batista & J. LAMOOT & G. LANINE, 2006. "Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/367, Ghent University, Faculty of Economics and Business Administration.
  14. Jeremy Berkowitz, 1999. "Evaluating the forecasts of risk models," Finance and Economics Discussion Series 1999-11, Board of Governors of the Federal Reserve System (U.S.).
  15. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models-at-risk," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
  16. Ales Kresta & Tomas Tichy, 2012. "International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 141-161, May.
  17. Peter Christoffersen, 2004. "Backtesting Value-at-Risk: A Duration-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 84-108.
  18. Cotter, John & Dowd, Kevin, 2007. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," MPRA Paper 3504, University Library of Munich, Germany.
  19. Sinha, Pankaj & Agnihotri, Shalini, 2014. "Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization," MPRA Paper 56307, University Library of Munich, Germany, revised 26 May 2014.
  20. Yutong Chen & Paul Bilokon & Conan Hales & Laura Kerr, 2023. "Real-time VaR Calculations for Crypto Derivatives in kdb+/q," Papers 2309.06393, arXiv.org.
  21. Lutz Johanning & Björn Döhrer, 2010. "Produktrating im Anlagemarkt für Privatkunden: Konzeption, Backtesting und Akzeptanz eines Zertifikateratings," Schmalenbach Journal of Business Research, Springer, vol. 62(61), pages 166-184, January.
  22. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Didier Maillard, 2019. "Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR," Annals of Operations Research, Springer, vol. 281(1), pages 423-453, October.
  23. Silvia Stanescu & Radu Tunaru, 2013. "Quantifying the uncertainty in VaR and expected shortfall estimates," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 15, pages 357-372, Edward Elgar Publishing.
  24. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Donald Keenan, 2015. "Cornish-Fisher Expansion for Commercial Real Estate Value at Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 50(4), pages 439-464, May.
  25. Manuel Kleinknecht & Wing Lon Ng, 2015. "Minimizing Basel III Capital Requirements with Unconditional Coverage Constraint," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 22(4), pages 263-281, October.
  26. Po-Cheng Wu & Cheng-Kun Kuo & Chih-Wei Lee, 2012. "Evaluation Of Multi-Asset Value At Risk: Evidence From Taiwan," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 6(4), pages 23-34.
  27. John Cotter & Kevin Dowd, 2010. "Estimating financial risk measures for futures positions: A nonparametric approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(7), pages 689-703, July.
  28. Mr. Paul H. Kupiec, 2002. "Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives," IMF Working Papers 2002/125, International Monetary Fund.
  29. Laurent El Ghaoui & Maksim Oks & Francois Oustry, 2003. "Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach," Operations Research, INFORMS, vol. 51(4), pages 543-556, August.
  30. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01317391, HAL.
  31. Vanda Tulli & Gerd Weinrich, 2015. "Using Value-at-Risk to reconcile limited liability and the moral-hazard problem," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 93-118, April.
  32. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2018. "Ex-ante real estate Value at Risk calculation method," Annals of Operations Research, Springer, vol. 262(2), pages 257-285, March.
  33. Mr. Paul H. Kupiec, 2002. "Calibrating Your Intuition: Capital Allocation for Market and Credit Risk," IMF Working Papers 2002/099, International Monetary Fund.
  34. Rockstuhl, Sebastian & Wenninger, Simon & Wiethe, Christian & Ahlrichs, Jakob, 2022. "The influence of risk perception on energy efficiency investments: Evidence from a German survey," Energy Policy, Elsevier, vol. 167(C).
  35. Hussein Khraibani & Bilal Nehme & Olivier Strauss, 2018. "Interval Estimation of Value-at-Risk Based on Nonparametric Models," Econometrics, MDPI, vol. 6(4), pages 1-30, December.
  36. de Fontnouvelle, Patrick & Dejesus-Rueff, Virginia & Jordan, John S. & Rosengren, Eric S., 2006. "Capital and Risk: New Evidence on Implications of Large Operational Losses," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(7), pages 1819-1846, October.
  37. A. Ahmadi-Javid, 2012. "Entropic Value-at-Risk: A New Coherent Risk Measure," Journal of Optimization Theory and Applications, Springer, vol. 155(3), pages 1105-1123, December.
  38. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Capturing the intrinsic uncertainty of the VaR: Spectrum representation of a saddlepoint approximation for an estimator of the VaR," Documents de travail du Centre d'Economie de la Sorbonne 16034r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2016.
  39. Roberta Fiori & Simonetta Iannotti, 2006. "Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure," Temi di discussione (Economic working papers) 602, Bank of Italy, Economic Research and International Relations Area.
  40. Francesco Cesarone & Manuel L. Martino & Fabio Tardella, 2023. "Mean-Variance-VaR portfolios: MIQP formulation and performance analysis," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(3), pages 1043-1069, September.
  41. Dias, Alexandra, 2013. "Market capitalization and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5248-5260.
  42. Ramona Rupeika-Apoga & Roberts Nedovis, 2016. "The Foreign Exchange Exposure of Domestic Companies in Eurozone: Case of the Baltic States," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 165-178.
  43. Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
  44. Ivanov Roman V., 2018. "On risk measuring in the variance-gamma model," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 23-33, January.
  45. Jeremy Berkowitz & James O'Brien, 2002. "How Accurate Are Value‐at‐Risk Models at Commercial Banks?," Journal of Finance, American Finance Association, vol. 57(3), pages 1093-1111, June.
  46. Chrétien, Stéphane & Coggins, Frank, 2010. "Performance and conservatism of monthly FHS VaR: An international investigation," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 323-333, December.
  47. Sean D. Campbell, 2005. "A review of backtesting and backtesting procedures," Finance and Economics Discussion Series 2005-21, Board of Governors of the Federal Reserve System (U.S.).
  48. Michael S. Gibson, 2001. "Incorporating event risk into value-at-risk," Finance and Economics Discussion Series 2001-17, Board of Governors of the Federal Reserve System (U.S.).
  49. Michael S. Gibson & Matthew Pritsker, 2000. "Improving grid-based methods for estimating value at risk of fixed-income portfolios," Finance and Economics Discussion Series 2000-25, Board of Governors of the Federal Reserve System (U.S.).
  50. Jeremy Berkowitz & James M. O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.).
  51. Orla Mccullagh & Mark Cummins & Sheila Killian, 2023. "The Fundamental Review of the Trading Book: Implications for Portfolio and Risk Management in the Banking Sector," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(7), pages 1785-1816, October.
  52. John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
  53. Pritsker, Matthew, 2006. "The hidden dangers of historical simulation," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 561-582, February.
  54. Castellacci, Giuseppe & Siclari, Michael J., 2003. "The practice of Delta-Gamma VaR: Implementing the quadratic portfolio model," European Journal of Operational Research, Elsevier, vol. 150(3), pages 529-545, November.
  55. Taras Bodnar & Mathias Lindholm & Vilhelm Niklasson & Erik Thors'en, 2020. "Bayesian Quantile-Based Portfolio Selection," Papers 2012.01819, arXiv.org.
  56. Ramona Rupeika-Apoga & Roberts Nedovis, 2015. "The Foreign Exchange Exposure of Non-Financial Companies in Eurozone: Myth or Reality?," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 54-66.
  57. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "A robust confidence interval of historical Value-at-Risk for small sample," Documents de travail du Centre d'Economie de la Sorbonne 16034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  58. Nuerxiati Abudurexiti & Kai He & Dongdong Hu & Svetlozar T. Rachev & Hasanjan Sayit & Ruoyu Sun, 2021. "Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models," Papers 2111.04311, arXiv.org, revised Feb 2023.
  59. Michael S. Gibson, 1998. "The implications of risk management information systems for the organization of financial firms," International Finance Discussion Papers 632, Board of Governors of the Federal Reserve System (U.S.).
  60. Mario Coccia, 2004. "Countrymetrics and economic performance evaluation of countries.A systemic approach," CERIS Working Paper 200413, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY.
  61. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Documents de travail du Centre d'Economie de la Sorbonne 16034rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
  62. Belhajjam, A. & Belbachir, M. & El Ouardirhi, S., 2017. "Robust multivairiate extreme value at risk allocation," Finance Research Letters, Elsevier, vol. 23(C), pages 1-11.
  63. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Post-Print halshs-01317391, HAL.
  64. Cui, Tianxiang & Ding, Shusheng & Jin, Huan & Zhang, Yongmin, 2023. "Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach," Economic Modelling, Elsevier, vol. 119(C).
  65. Michael S. Gibson, 1997. "Information systems for risk management," International Finance Discussion Papers 585, Board of Governors of the Federal Reserve System (U.S.).
  66. Orla McCullagh & Mark Cummins & Sheila Killian, 2023. "Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation," Journal of Banking Regulation, Palgrave Macmillan, vol. 24(3), pages 321-336, September.
  67. Mínguez, R. & Conejo, A.J. & García-Bertrand, R., 2011. "Reliability and decomposition techniques to solve certain class of stochastic programming problems," Reliability Engineering and System Safety, Elsevier, vol. 96(2), pages 314-323.
  68. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
  69. Matthew Pritsker, 2001. "The hidden dangers of historical simulation," Finance and Economics Discussion Series 2001-27, Board of Governors of the Federal Reserve System (U.S.).
  70. Mazin A.M. Al Janabi, 2012. "Risk Management in Trading and Investment Portfolios," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 11(2), pages 189-229, August.
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