Robust Estimation of Value-at-Risk through Distribution-Free and Parametric Approaches Using the Joint Severity and Frequency Model: Applications in Financial, Actuarial, and Natural Calamities Domains
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Bilgrau, Anders Ellern & Eriksen, Poul Svante & Rasmussen, Jakob Gulddahl & Johnsen, Hans Erik & Dybkaer, Karen & Boegsted, Martin, 2016. "GMCM: Unsupervised Clustering and Meta-Analysis Using Gaussian Mixture Copula Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 70(i02).
- Panchenko, Valentyn, 2005.
"Goodness-of-fit test for copulas,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 176-182.
- Panchenko, V., 2004. "Goodness-of-fit test for copulas," CeNDEF Working Papers 04-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Loriano Mancini & Fabio Trojani, 2011.
"Robust Value at Risk Prediction,"
Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 281-313, Spring.
- Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute.
- Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," University of St. Gallen Department of Economics working paper series 2007 2007-36, Department of Economics, University of St. Gallen.
- Chen, Yen-Liang & Hu, Hui-Ling, 2006. "An overlapping cluster algorithm to provide non-exhaustive clustering," European Journal of Operational Research, Elsevier, vol. 173(3), pages 762-780, September.
- Kojadinovic, Ivan & Yan, Jun, 2010. "Modeling Multivariate Distributions with Continuous Margins Using the copula R Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 34(i09).
- Dias, Alexandra, 2013. "Market capitalization and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5248-5260.
- Juan Wu & Xue Wang & Stephen G. Walker, 2014. "Bayesian Nonparametric Inference for a Multivariate Copula Function," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 747-763, September.
- Svetlozar T. Rachev & Anna Chernobai & Christian Menn, 2006. "Empirical Examination of Operational Loss Distributions," Springer Books, in: Martin Morlock & Christoph Schwindt & Norbert Trautmann & Jürgen Zimmermann (ed.), Perspectives on Operations Research, pages 379-401, Springer.
- Paul Embrechts & Bin Wang & Ruodu Wang, 2015. "Aggregation-robustness and model uncertainty of regulatory risk measures," Finance and Stochastics, Springer, vol. 19(4), pages 763-790, October.
- Valérie Chavez-Demoulin & Paul Embrechts & Marius Hofert, 2016. "An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 735-776, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- J. A. Carrillo & M. Nieto & J. F. Velez & D. Velez, 2021. "A New Machine Learning Forecasting Algorithm Based on Bivariate Copula Functions," Forecasting, MDPI, vol. 3(2), pages 1-22, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
- Song, Zhi & Mukherjee, Amitava & Zhang, Jiujun, 2021. "Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment," European Journal of Operational Research, Elsevier, vol. 289(1), pages 177-196.
- Arturo Cortés Aguilar, 2011. "Estimación del residual de un bono respaldado por hipotecas mediante un modelo de riesgo crédito: una comparación de resultados de la teoría de cópulas y el modelo IRB de Basilea II en datos del merca," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 50-64.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Estimating non-linear serial and cross-interdependence between financial assets," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 837-846.
- Okhrin, Ostap & Ristig, Alexander, 2014.
"Hierarchical Archimedean Copulae: The HAC Package,"
Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i04).
- Okhrin, Ostap & Ristig, Alexander, 2012. "Hierarchical Archimedean copulae: The HAC package," SFB 649 Discussion Papers 2012-036, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Leong, Soon Heng, 2021. "Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study," Energy Economics, Elsevier, vol. 103(C).
- Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
- Elberg, Christina & Hagspiel, Simeon, 2015. "Spatial dependencies of wind power and interrelations with spot price dynamics," European Journal of Operational Research, Elsevier, vol. 241(1), pages 260-272.
- Matteo Malavasi & Gareth W. Peters & Pavel V. Shevchenko & Stefan Truck & Jiwook Jang & Georgy Sofronov, 2021. "Cyber Risk Frequency, Severity and Insurance Viability," Papers 2111.03366, arXiv.org, revised Mar 2022.
- Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo.
- Kalema, George & Molenberghs, Geert, 2016. "Generating Correlated and/or Overdispersed Count Data: A SAS Implementation," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 70(c01).
- Wanling Huang & Artem Prokhorov, 2014.
"A Goodness-of-fit Test for Copulas,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 751-771, October.
- Prokhorov, Artem, 2008. "A goodness-of-fit test for copulas," MPRA Paper 9998, University Library of Munich, Germany.
- Wanling Huang & Artem Prokhorov, 2010. "A Goodness-of-fit Test for Copulas," Working Papers 10002, Concordia University, Department of Economics, revised Apr 2010.
- Ulrik Franke, 2020. "IT service outage cost: case study and implications for cyber insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 45(4), pages 760-784, October.
- Berghaus, Betina & Segers, Johan, 2017. "Weak convergence of the weighted empirical beta copula process," LIDAM Discussion Papers ISBA 2017015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Jin-Ray Lu & Chiang-Chang Hwang & Yi-Chun Chen & Chu-Ting Wen, 2013. "Including More Information Content to Enhance the Value at Risk Estimation for Real Estate Investment Trusts," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(3), pages 25-34, July.
- Henryk Zähle, 2022. "A concept of copula robustness and its applications in quantitative risk management," Finance and Stochastics, Springer, vol. 26(4), pages 825-875, October.
- Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014.
"Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management,"
Energy Economics, Elsevier, vol. 42(C), pages 332-342.
- Riadh Aloui & Mohamed Safouane Ben Aïssa & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Working Papers 2014-590, Department of Research, Ipag Business School.
- Zhu, Bo & Lin, Renda & Deng, Yuanyue & Chen, Pingshe & Chevallier, Julien, 2021. "Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises," Economic Modelling, Elsevier, vol. 105(C).
- Ulrik Franke, 0. "IT service outage cost: case study and implications for cyber insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 0, pages 1-25.
More about this item
Keywords
risk management; simulation; copula; loss severity modeling; Value-at-Risk;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:5:y:2017:i:3:p:41-:d:105953. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.