𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Value at risk from econometric models and implied from currency options

✍ Scribed by James Chong

Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
177 KB
Volume
23
Category
Article
ISSN
0277-6693

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This paper compares daily exchange rate value at risk estimates derived from econometric models with those implied by the prices of traded options. Univariate and multivariate GARCH models are employed in parallel with the simple historical and exponentially weighted moving average methods. Overall, we find that during periods of stability, the implied model tends to overestimate value at risk, hence over‐allocating capital. However, during turbulent periods, it is less responsive than the GARCH‐type models, resulting in an under‐allocation of capital and a greater number of failures. Hence our main conclusion, which has important implications for risk management, is that market expectations of future volatility and correlation, as determined from the prices of traded options, may not be optimal tools for determining value at risk. Therefore, alternative models for estimating volatility should be sought. Copyright © 2004 John Wiley & Sons, Ltd.

📜 SIMILAR VOLUMES

Using CAViaR Models with Implied Volatil
Using CAViaR Models with Implied Volatility for Value-at-Risk Estimation
✍ Jooyoung Jeon; James W. Taylor 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 315 KB 👁 1 views

## ABSTRACT This paper proposes value‐at risk (VaR) estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility. The appeal of this proposal is that it merges information from the historical time series and the different inf

Market risk management of banks: implica
Market risk management of banks: implications from the accuracy of Value-at-Risk forecasts
✍ Michael Chak Sham Wong; Wai Yan Cheng; Clement Yuk Pang Wong 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 87 KB 👁 1 views

## Abstract This paper adopts the backtesting criteria of the Basle Committee to compare the performance of a number of simple Value‐at‐Risk (VaR) models. These criteria provide a new standard on forecasting accuracy. Currently central banks in major money centres, under the auspices of the Basle C

PATENTS, R&D, AND TECHNOLOGICAL SPILLOVE
PATENTS, R&D, AND TECHNOLOGICAL SPILLOVERS AT THE FIRM LEVEL: SOME EVIDENCE FROM ECONOMETRIC COUNT MODELS FOR PANEL DATA
✍ MICHELE CINCERA 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 191 KB 👁 1 views

This paper analyses the relationship between the main determinants of technological activity and patent applications. To this end, an original panel of 181 international manufacturing ®rms investing substantial amounts in R&D during the late 1980s has been constructed. The number of patent applicati

Changes in knee cartilage T2 values over
Changes in knee cartilage T2 values over 24 months in subjects with and without risk factors for knee osteoarthritis and their association with focal knee lesions at baseline: Data from the osteoarthritis initiative
✍ Thomas Baum; Christoph Stehling; Gabby B. Joseph; Julio Carballido-Gamio; Benedi 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 434 KB

## Abstract ## Purpose: To examine the changes in knee cartilage T2 values over 24 months in subjects with and without risk factors for knee osteoarthritis (OA) and their association with focal knee lesions at baseline. ## Materials and Methods: Forty‐one subjects without and 101 subjects with O