cicyt UNIZAR

Risk Management

New submissions

[ total of 8 entries: 1-8 ]
[ showing up to 2000 entries per page: fewer | more ]

New submissions for Tue, 20 Mar 18

[1]  arXiv:1803.06922 [pdf, ps, other]
Title: Approximation of Some Multivariate Risk Measures for Gaussian Risks
Authors: E. Hashorva
Subjects: Risk Management (q-fin.RM); Probability (math.PR)

Gaussian random vectors exhibit the loss of dimension phenomena, which relate to their joint survival tail behaviour. Besides, the fact that the components of such vectors are light-tailed complicates the approximations of various multivariate risk measures significantly. In this contribution we derive precise approximations of marginal mean excess, marginal expected shortfall and multivariate conditional tail expectation of Gaussian random vectors and highlight links with conditional limit theorems. Our study indicates that similar results hold for elliptical and Gaussian like multivariate risks.

[2]  arXiv:1803.07021 [pdf, other]
Title: Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling
Comments: 30 pages, 29 figures, source code available at this https URL
Subjects: Risk Management (q-fin.RM)

This paper proposes a new integrated variance estimator based on order statistics within the framework of jump-diffusion models. Its ability to disentangle the integrated variance from the total process quadratic variation is confirmed by both simulated and empirical tests. For practical purposes, we introduce an iterative algorithm to estimate the time-varying volatility and the occurred jumps of log-return time series. Such estimates enable the definition of a new market risk model for the Value at Risk forecasting. We show empirically that this procedure outperforms the standard historical simulation method applying standard back-testing approach.

[3]  arXiv:1803.07041 [pdf, ps, other]
Title: Spatial risk measures and rate of spatial diversification
Authors: Erwan Koch
Subjects: Risk Management (q-fin.RM)

An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance industry. Koch (2017) introduced a notion of spatial risk measure and a corresponding set of axioms which are well suited to analyse the risk due to events having a spatial extent, precisely such as environmental phenomena. The axiom of asymptotic spatial homogeneity is of particular interest since it allows to quantify the rate of spatial diversification when the region under consideration becomes large. In this paper, we first investigate the general concepts of spatial risk measures and corresponding axioms further. Second, in the case of a general cost field, we especially give sufficient conditions such that spatial risk measures associated with expectation, variance, Value-at-Risk as well as expected shortfall and induced by this cost field satisfy the axioms of asymptotic spatial homogeneity of order 0, -2, -1 and -1, respectively. Last but not least, in the case where the cost field is a function of a max-stable random field, we mainly provide conditions on both the function and the max-stable field ensuring the latter properties. Max-stable random fields are relevant when assessing the risk of extreme events since they appear as a natural extension of multivariate extreme-value theory to the level of random fields. Overall, this paper improves our understanding of spatial risk measures as well as of their properties with respect to the space variable and generalises many results obtained in Koch (2017).

Replacements for Tue, 20 Mar 18

[4]  arXiv:1708.01489 (replaced) [pdf, other]
Title: Spectral backtests of forecast distributions with application to risk management
Subjects: Risk Management (q-fin.RM)
[5]  arXiv:1709.01337 (replaced) [pdf, ps, other]
Title: Backtesting Expected Shortfall: is it really that hard?
Subjects: Risk Management (q-fin.RM); Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF)
[6]  arXiv:1801.10515 (replaced) [pdf, other]
Title: Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem
Subjects: Risk Management (q-fin.RM)
[7]  arXiv:1612.03347 (replaced) [pdf, other]
Title: Dual Moments and Risk Attitudes
Subjects: Risk Management (q-fin.RM); Probability (math.PR)
[8]  arXiv:1803.02570 (replaced) [pdf, ps, other]
Title: Why Black Swan events must occur
Subjects: Risk Management (q-fin.RM); Logic (math.LO)
[ total of 8 entries: 1-8 ]
[ showing up to 2000 entries per page: fewer | more ]

Disable MathJax (What is MathJax?)