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Found 5 papers, 0 papers with code
Tail risk forecasting with semi-parametric regression models by incorporating overnight information
This research incorporates realized volatility and overnight information into risk models, wherein the overnight return often contributes significantly to the total return volatility.
Forecasting and Backtesting Gradient Allocations of Expected Shortfall
In an empirical analysis of stock returns we evaluate and compare a variety of models for forecasting dynamic ES contributions and demonstrate the outstanding performance of the proposed model.
Modality for Scenario Analysis and Maximum Likelihood Allocation
We show that various distributional properties of this conditional distribution, such as modality, dependence and tail behavior, are inherited from those of the underlying joint loss distribution.
Avoiding zero probability events when computing Value at Risk contributions
This paper is concerned with the process of risk allocation for a generic multivariate model when the risk measure is chosen as the Value-at-Risk (VaR).
Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods.
