Advances in Risk Management

216 EVALUATING VALUE-AT-RISK ESTIMATES: A CROSS-SECTION APPROACH 11.3.2 Tests based on multiple VaR levels or the entire probabi ...

RAFFAELE ZENTI, MASSIMILIANO PALLOTTA AND CLAUDIO MARSALA 217 The crucial point about this methods is that they need the entire ...

218 EVALUATING VALUE-AT-RISK ESTIMATES: A CROSS-SECTION APPROACH of any process aimed to assess VaR model there is an evaluation ...

RAFFAELE ZENTI, MASSIMILIANO PALLOTTA AND CLAUDIO MARSALA 219 3Att+H, it is possible to compute the actual returns for theKportf ...

220 EVALUATING VALUE-AT-RISK ESTIMATES: A CROSS-SECTION APPROACH Table 11.1 Proportion of failures Model 1 Model 2 Model 3 Run 1 ...

RAFFAELE ZENTI, MASSIMILIANO PALLOTTA AND CLAUDIO MARSALA 221 Table 11.2Proportion of failures Model 1 Model 2 Model 3 POF 1.8% ...

222 EVALUATING VALUE-AT-RISK ESTIMATES: A CROSS-SECTION APPROACH are using a conjugate prior): f(p|n_failures,K)∝π(p)·l(n_failur ...

223 0.0% 0.3% 0.8% 0.5% 1.0% 1.3% 1.6% 1.8% 2.1% 2.3% 2.6% 2.9% 3.1% 3.4% 3.6% 3.9% 4.2% 4.4% 4.7% 4.9% 5.2% 5.5% 5.7% 6.0% 6.3% ...

224 EVALUATING VALUE-AT-RISK ESTIMATES: A CROSS-SECTION APPROACH Then compute the derivative∂D j t,t+H/∂w s t, that, for assetki ...

RAFFAELE ZENTI, MASSIMILIANO PALLOTTA AND CLAUDIO MARSALA 225 Chatfield, C. (1993) “Calculating Interval Forecasts”,Journal of B ...

CHAPTER 12 Correlation Breakdowns in Asset Management Riccardo Bramante and Giampaolo Gabbi 12.1 INTRODUCTION Over recent years, ...

RICCARDO BRAMANTE AND GIAMPAOLO GABBI 227 0,250
0,250 0,200
0,200 0,150
0,150 0,100
0,100 0,050
0,050 0,000 Daily correlati ...

228 CORRELATION BREAKDOWNS IN ASSET MANAGEMENT 0,250
0,250 0,200
0,200 0,150
0,150 0,100
0,100 0,050
0,050 0,000 50 99 148 ...

RICCARDO BRAMANTE AND GIAMPAOLO GABBI 229 Table 12.1 Regression equation of correlation EUR–USD changes explained by volatility ...

230 CORRELATION BREAKDOWNS IN ASSET MANAGEMENT 1.5 100 200 300 400 500 1.0 0.5 0.0
1.0
0.5 RESID Number of observations  558 ...

RICCARDO BRAMANTE AND GIAMPAOLO GABBI 231 Table 12.2 Regression equation of higher correlation EUR–USD changes explained by vola ...

232 CORRELATION BREAKDOWNS IN ASSET MANAGEMENT Table 12.3 Regression equation of correlation EUR–JPY changes explained by volati ...

RICCARDO BRAMANTE AND GIAMPAOLO GABBI 233 RESID 510152025303540455055 10 8 4 2 6 0
2
4 Number of observations  56 daily cha ...

234 CORRELATION BREAKDOWNS IN ASSET MANAGEMENT Table 12.5Regression equation of correlation USD–JPY changes explained by volatil ...

RICCARDO BRAMANTE AND GIAMPAOLO GABBI 235 150 100 50 0
50
100 100 200 300 400 500 Number of observations  558 daily changes ...