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Analytical value-at-risk with jumps and credit risk

Citations

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Cited by:

  1. Siven, Johannes Vitalis & Lins, Jeffrey Todd & Szymkowiak-Have, Anna, 2009. "Value-at-Risk computation by Fourier inversion with explicit error bounds," Finance Research Letters, Elsevier, vol. 6(2), pages 95-105, June.
  2. Patrick Cheridito & John Ery & Mario V. Wuthrich, 2021. "Assessing asset-liability risk with neural networks," Papers 2105.12432, arXiv.org.
  3. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2010. "Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 703-712, April.
  4. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
  5. Zhang, Lei & Chen, Yan & Bouri, Elie, 2024. "Time-varying jump intensity and volatility forecasting of crude oil returns," Energy Economics, Elsevier, vol. 129(C).
  6. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
  7. Consigli, Giorgio, 2002. "Tail estimation and mean-VaR portfolio selection in markets subject to financial instability," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1355-1382, July.
  8. Mari, Carlo & Reno, Roberto, 2005. "Credit risk analysis of mortgage loans: An application to the Italian market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 83-93, May.
  9. Liao, Yin, 2013. "The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks," Pacific-Basin Finance Journal, Elsevier, vol. 23(C), pages 25-48.
  10. Mohamed Doukali & Xiaojun Song & Abderrahim Taamouti, 2024. "Value‐at‐Risk under Measurement Error," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 690-713, June.
  11. Jules Sadefo Kamdem, 2005. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 537-551.
  12. Mark Broadie & Yiping Du & Ciamac C. Moallemi, 2015. "Risk Estimation via Regression," Operations Research, INFORMS, vol. 63(5), pages 1077-1097, October.
  13. J. Christopher Westland, 2015. "Economics of eBay’s buyer protection plan," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-20, December.
  14. Olivier Aj Bardou & Noufel Frikha & G. Pag`es, 2008. "Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling," Papers 0812.3381, arXiv.org, revised Dec 2010.
  15. 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.
  16. Sadefo Kamdem, J. & Genz, A., 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3389-3407, March.
  17. Patrick Cheridito & John Ery & Mario V. Wüthrich, 2020. "Assessing Asset-Liability Risk with Neural Networks," Risks, MDPI, vol. 8(1), pages 1-17, February.
  18. repec:hal:journl:peer-00732538 is not listed on IDEAS
  19. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
  20. Grundke, Peter, 2009. "Importance sampling for integrated market and credit portfolio models," European Journal of Operational Research, Elsevier, vol. 194(1), pages 206-226, April.
  21. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  22. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
  23. Alessandro Ramponi, 2016. "On a Transform Method for the Efficient Computation of Conditional V@R (and V@R) with Application to Loss Models with Jumps and Stochastic Volatility," Methodology and Computing in Applied Probability, Springer, vol. 18(2), pages 575-596, June.
  24. Seyed Mohammad Sina Seyfi & Azin Sharifi & Hamidreza Arian, 2020. "Portfolio Risk Measurement Using a Mixture Simulation Approach," Papers 2011.07994, arXiv.org.
  25. Guo Liang & Kun Zhang & Jun Luo, 2024. "A FAST Method for Nested Estimation," INFORMS Journal on Computing, INFORMS, vol. 36(6), pages 1481-1500, December.
  26. Thai Nguyen, 2016. "Optimal investment and consumption with downside risk constraint in jump-diffusion models," Papers 1604.05584, arXiv.org.
  27. Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, vol. 17(C), pages 121-149.
  28. Manon Costa & Sébastien Gadat, 2021. "Non-asymptotic study of a recursive superquantile estimation algorithm," Post-Print hal-03610477, HAL.
  29. Liu, Qingfu & Tu, Anthony H., 2012. "Jump spillovers in energy futures markets: Implications for diversification benefits," Energy Economics, Elsevier, vol. 34(5), pages 1447-1464.
  30. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, vol. 6(3), pages 138-151, September.
  31. repec:wyi:journl:002108 is not listed on IDEAS
  32. Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June.
  33. Griffith, Todd G. & Roseman, Brian S., 2019. "Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 104-121.
  34. Bardou O. & Frikha N. & Pagès G., 2009. "Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling," Monte Carlo Methods and Applications, De Gruyter, vol. 15(3), pages 173-210, January.
  35. Su, Zhifang & Bao, Haohua & Li, Qifang & Xu, Boyu & Cui, Xin, 2022. "The prediction of price gap anomaly in Chinese stock market: Evidence from the dependent functional logit model," Finance Research Letters, Elsevier, vol. 47(PB).
  36. Zhou, Haigang & Zhu, John Qi, 2019. "Firm characteristics and jump dynamics in stock prices around earnings announcements," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  37. Hong-Bae Kim & Tae-Jun Park, 2015. "The Behavior Comparison between Mean Reversion and Jump Diffusion of CDS Spread," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 3(4), pages 8-21.
  38. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  39. Glasserman, Paul & Kim, Kyoung-Kuk, 2009. "Saddlepoint approximations for affine jump-diffusion models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 15-36, January.
  40. Eckhard Platen & Gerhard Stahl, 2003. "A Structure for General and Specific Market Risk," Computational Statistics, Springer, vol. 18(3), pages 355-373, September.
  41. Gadat, Sébastien & Costa, Manon, 2020. "Non asymptotic controls on a stochastic algorithm for superquantile approximation," TSE Working Papers 20-1149, Toulouse School of Economics (TSE).
  42. Seyfi, Seyed Mohammad Sina & Sharifi, Azin & Arian, Hamidreza, 2021. "Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 190(C), pages 1056-1079.
  43. Sadefo Kamdem, J., 2010. "Sharp estimates for the CDF of quadratic forms of MPE random vectors," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1755-1771, September.
  44. Chien-Liang Chiu & Ming-Chih Lee & Jui-Cheng Hung, 2005. "Estimation of Value-at-Risk under jump dynamics and asymmetric information," Applied Financial Economics, Taylor & Francis Journals, vol. 15(15), pages 1095-1106.
  45. L. Jeff Hong & Sandeep Juneja & Guangwu Liu, 2017. "Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement," Operations Research, INFORMS, vol. 65(3), pages 657-673, June.
  46. Alessandro Ramponi, 2012. "Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach," Papers 1207.6759, arXiv.org.
  47. Lin, Shih-Kuei & Wang, Shin-Yun & Chen, Carl R. & Xu, Lian-Wen, 2017. "Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 359-373.
  48. Bjursell, Johan & Gentle, James E. & Wang, George H.K., 2015. "Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets," Energy Economics, Elsevier, vol. 48(C), pages 336-349.
  49. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2008. "Regulatory capital for market and credit risk interaction: is current regulation always conservative?," Discussion Paper Series 2: Banking and Financial Studies 2008,14, Deutsche Bundesbank.
  50. Ao Kong & Robert Azencott & Hongliang Zhu & Xindan Li, 2020. "Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysis," Papers 2011.04939, arXiv.org, revised Feb 2021.
  51. Ao Kong & Robert Azencott & Hongliang Zhu & Xindan Li, 2024. "Pattern Recognition in Microtrading Behaviors Preceding Stock Price Jumps: A Study Based on Mutual Information for Multivariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1401-1429, April.
  52. Lim Kian Guan & Liu Xiaoqing & Tsui Kai Chong, 2004. "Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 129-139.
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