✦ LIBER ✦

Analytical Value-at-Risk and Expected Shortfall under regime-switching

✍ Scribed by Abderrahim Taamouti

Book ID: 116494837
Publisher: Elsevier Science
Year: 2009
Tongue: English
Weight: 337 KB
Volume: 6
Category: Article
ISSN: 1544-6123
DOI: 10.1016/j.frl.2009.03.004

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Value at Risk and Expected Shortfall for

Value at Risk and Expected Shortfall for large portfolios

✍ Carl Lönnbark; Ulf Holmberg; Kurt Brännäs 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 314 KB

Expected Shortfall: A Natural Coherent A

Expected Shortfall: A Natural Coherent Alternative to Value at Risk

✍ Carlo Acerbi; Dirk Tasche 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 91 KB

Bayesian Value-at-Risk and expected shor

Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution

✍ Qian Chen; Richard Gerlach; Zudi Lu 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 610 KB

Optimal portfolios with regime switching

Optimal portfolios with regime switching and value-at-risk constraint

✍ Ka-Fai Cedric Yiu; Jingzhen Liu; Tak Kuen Siu; Wai-Ki Ching 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 591 KB

We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constraint when the price dynamics of the risky asset are governed by a Markov-modulated geometric Brownian motion (GBM). Here, the market parameters including the market interest rate of a bank account, th

Value at risk and conditional extreme va

Value at risk and conditional extreme value theory via markov regime switching models

✍ Yau Man Ze-to Samuel 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 419 KB

## Abstract This study develops a new conditional extreme value theory‐based (EVT) model that incorporates the Markov regime switching process to forecast extreme risks in the stock markets. The study combines the Markov switching ARCH (SWARCH) model (which uses different sets of parameters for var