Conditional value-at-risk (CVAR)
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk
The authors put forward a new means to integrate volatility information in the estimation of value-at-risk and conditional value-at-risk which is shown to be effective in risk estimation during volatile market conditions.
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
The authors investigate a method that combines two skewed exponential power distributions and models the conditional forecasting of VaR and CVaR and is in compliance with the recent Basel framework for market risk.
Fat tails and optimal LDI portfolios
A portfolio optimisation technique for pension funds and insurance portfolios is presented
Does the asymmetric exponential power distribution improve systemic risk measurement?
The authors use a parametric estimation for CoVaR and compare the goodness-of-fit and backtesting of AEPD with other commonly used distributions using data from the Chinese banking sector from 2008-2019.
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach
The author uses the marginal expected shortfall method alongside the Beta-skew-t-exponential generalized autoregressive conditional heteroscedasticity-extreme value theory model and the CoVaR model to investigate risk spillover between the crude oil…
Counterparty risk allocation
This paper investigates the problem of minimizing the risk of exposure to a small number of defaultable counterparties based on spectral risk measures.
Optimal trade execution with uncertain volume target
This paper demonstrates that risk-averse traders can benefit from delaying trades using a model that accounts for volume uncertainty.
Podcast: Matthew Dixon on decomposition of portfolio risk
New approach calculates contributions to value-at-risk for nonlinear portfolios
Reinvestigating international crude oil market risk spillovers
This paper develops a copula-GARCH-MIDAS model to estimate the joint probability distribution of multivariate variables, and then derives CoVaR-type risk measures.
An ‘optimal’ way to calculate future P&L distributions?
Quants use neural networks to upgrade classic options pricing model
Derivatives pricing starts feeling the heat of climate change
Quants find physical and transition risks can lead to significant rise in CVA
A simple and robust approach for expected shortfall estimation
This paper proposes a simple and robust expected shortfall estimation method based on the tail-based normal approximation.
Risk measures: a generalization from the univariate to the matrix-variate
This paper develops a method for estimating value-at-risk and conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and a matrix-variate setting.
Podcast: Barclays’ Ben Burnett on how banks can implement HVA
New valuation adjustment may lead to more efficient management of derivatives books
Putting the H in XVAs
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
The slow corporate embrace of CSAs
Risk.net research finds 28 of 50 large companies now have CSAs – but has the trend run its course?
Machine learning hedge strategy with deep Gaussian process regression
An optimal hedging strategy for options in discrete time using a reinforcement learning technique
Old-fashioned parametric models are still the best: a comparison of value-at-risk approaches in several volatility states
The authors present backtesting results for 1% and 2.5% VaR of six indexes from emerging and developed countries using several of the best-known VaR models, including generalized autoregressive conditional heteroscedasticity (GARCH), extreme value theory…
Incremental value-at-risk
This paper proposes a novel method for estimating future operational risk capital: incremental value-at-risk (IVaR)
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
A triptych approach for reverse stress testing of complex portfolios
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables