Post Model Correction in Risk Analysis and Management

Post Model Correction in Risk Analysis and Management

This work focuses on Value at Risk (VaR) and Expected Shortfall (ES) in conjunction with the so called, low price effect. In order to improve forecasts of risk measures like VaR or ES when low price effect is present, we propose the low price correction which does not involve additional parameters a...

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Bibliographic Details
Main Authors: G.-J. Siouris, D. Skilogianni, A. Karagrigoriou
Format: Article
Language:English
Published: Ram Arti Publishers 2019-06-01
Series:International Journal of Mathematical, Engineering and Management Sciences
Subjects:
EWMA
ARCH
GARCH
APARCH
FIGARCH
Expected shortfall
VaR
PVaR
Violation ratios; Normalised shortfall
EPS
Leverage effect
Low price effect
Low price correction
Backtesting
Online Access:https://www.ijmems.in/assets/44-ijmems-19-80-vol.-4%2c-no.-3%2c-542%E2%80%93566%2c-2019.pdf

Internet

https://www.ijmems.in/assets/44-ijmems-19-80-vol.-4%2c-no.-3%2c-542%E2%80%93566%2c-2019.pdf

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