Measuring Market Risk

By Kevin Dowd. 2002

532 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7a98c481e798f4bd78e90ba2ff9c4583e4d3a93f

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Citations in the corpus

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis (2018, background): “According to Dowd (2007), the S.A.R.S. outbreak (i.e., unexpected natural catastrophes) KEYWORDS Epidemic diseases; financial integration; severe acute Respiratory syndrome; difference-in-differences; smooth time-varying cointegration model JEL CLASSIFICATIONS c22; F36; i15; i18 ARTICLE HISTORY…”
A comprehensive review of Value at Risk methodologies (2014, unknown): “documented by Down (2002). The two main advantages are as follows: (1) the method is very”
Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005, background): “…family of probability distributions of the form rt ¼ t þ t ¼ t þ tzt, ð2Þ where location t and scale t are F t 1-measurable parameters and zt iid fzð Þ, where fZ is a zero-location, unit-scale probability density that can have additional shape parameters (such as the degrees of…”
Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach (2015, unknown): “, [21, 11, 6]) and the recent approaches for CVaR optimization in MDPs [4, 8, 5, 25].”
Smart Operation of Smart Grid: Risk-Limiting Dispatch (2011, background): “Risk assessment and management is a welldeveloped field in finance [36].”
Extreme Value Theory for Finance: A Survey (2012, background): “Standard references on VaR are the reviews by Duffie and Pan (1997) and Pearson and Smithson (2002) and the books by Dowd (1998, 2002) and Jorion (1997).”
The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing (2011, unknown): “4 Further, following the convention in Extreme Value Theory (see Dowd 2002, p.272), where Fréchet type distributions with ξ > 0 for the tail shape parameter are associated with losses, we model asset returns in terms of losses: t T t tT TT S S S SSRL −=−−=−= 1 .”
Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets (2009, unknown): “2 For a good overview of a wide range of VaR and ES models see, for example, Dowd (2005).”
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (2007, methodology): “Some existing work proposes to use the bootstrap for constructing confidence intervals of a conditional VaR estimator (for instance, Dowd (2002) and Christoffersen and Goncalves (2004)).”
Developing a stress testing framework based on market risk models (2008, methodology): “7 Use of an asymmetric GARCH model was considered but discarded for two reasons.”
Mortality-dependent financial risk measures (2006, background): “This function satisfies the conditions required of a coherent spectral risk measure, but is also attractive because it is a simple function that depends on a single parameter, the coefficient of absolute risk aversion.”
Frontiers in VaR forecasting and backtesting (2016, methodology): “Several authors propose implementing bootstrap procedures to obtain forecast intervals for the VaR obtained using FHS; see Dowd (2007) and Christoffersen and GonÇalves (2005) who show that the forecast intervals for HS are too narrow and do not contain the true VaR with the desired frequency while…”
Implied Volatility Indexes and Daily Value at Risk Models (2005, background): “A full review of VaR and risk models appears in Jorion [2000], and Dowd [2002] focuses on VaR and the modeling of market risk.”