How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used

2013 ◽  
Vol 14 (2) ◽  
pp. 305-325 ◽  
Author(s):  
Jung-Bin Su
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Approach ◽  
The Impact

scholarly journals An Empirical Study on the Impact of Trade War on Both the US and Chinese Economies, Based on the Value-at-risk Approach

2019 ◽  
Vol 3 (4) ◽  
pp. p279
Author(s):  
Mohammed Djebbouri ◽  
Mahmoud Laouni ◽  
Abderrahmane Tahi
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
The United States ◽  
Global Instability ◽  
The Us ◽  
Before And After ◽  
Risk Approach ◽  
Chinese Counterpart ◽  
Trade War ◽  
The Impact

The trade war between the US and China has led to global instability, this makes studying this topic very important and sensitive. This study aims to show the impact of the trade war on both the United States and China, by studying both US and Chinese companies before and after the trade war.Although the trade war is still ongoing and has not ended, but it is long enough to judge its impact on the two countries. In this study, the value at risk was used as a tool to compare the size of the risks to both the US and Chinese portfolios before and after the trade war, the results showed that the VaR of the US and Chinese portfolio after the trade war was greater than the VaR before the trade war, This means that the two countries were affected by the trade war.However, the results also showed that this change in the VaR of the US portfolio was greater than the change in the VaR of the Chinese portfolio, this means that the US portfolio has been more affected by the trade war than its Chinese counterpart.

Volatility Forecast by Volatility Index and Its Use as a Risk Management Tool Under a Value-at-Risk Approach

2018 ◽  
Vol 21 (02) ◽  
pp. 1850010 ◽  
Author(s):  
Yam Wing Siu
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Risk Premium ◽  
Value At Risk ◽  
Realized Volatility ◽  
Management Tool ◽  
Spot Price ◽  
Pricing Options ◽  
Significance Levels ◽  
Risk Approach

This paper examines the predicting power of the volatility indexes of VIX and VHSI on the future volatilities (or called realized volatility, [Formula: see text] of their respective underlying indexes of S&P500 Index, SPX and Hang Seng Index, HSI. It is found that volatilities indexes of VIX and VHSI, on average, are numerically greater than the realized volatilities of SPX and HSI, respectively. Further analysis indicates that realized volatility, if used for pricing options, would, on some occasions, result in greatest losses of 2.21% and 1.91% of the spot price of SPX and HSI, respectively while the greatest profits are 2.56% and 2.93% of the spot price of SPX and HSI, respectively, making it not an ideal benchmark for validating volatility forecasting techniques in relation to option pricing. Hence, a new benchmark (fair volatility, [Formula: see text] that considers the premium of option and the cost of dynamic hedging the position is proposed accordingly. It reveals that, on average, options priced by volatility indexes contain a risk premium demanded by the option sellers. However, the options could, on some occasions, result in greatest losses of 4.85% and 3.60% of the spot price of SPX and HSI, respectively while the greatest profits are 4.60% and 5.49% of the spot price of SPX and HSI, respectively. Nevertheless, it can still be a valuable tool for risk management. [Formula: see text]-values of various significance levels for value-at-risk and conditional value-at-value have been statistically determined for US, Hong Kong, Australia, India, Japan and Korea markets.

The Impact of Correlation on (Range) Value-at-Risk

2021 ◽  
Author(s):  
Carole Bernard ◽  
Corrado De Vecchi ◽  
Steven Vanduffel
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
The Impact
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