Frontiers in VaR forecasting and backtesting

MR Nieto, E Ruiz - International Journal of Forecasting, 2016 - Elsevier
The interest in forecasting the Value at Risk (VaR) has been growing over the last two
decades, due to the practical relevance of this risk measure for financial and insurance …

A review of backtesting for value at risk

Y Zhang, S Nadarajah - Communications in Statistics-Theory and …, 2018 - Taylor & Francis
There have been many backtesting methods proposed for value at risk. Yet they have rarely
been applied in practice. Here, we provide a comprehensive review of all of the recent …

Backtesting expected shortfall: accounting for tail risk

Z Du, JC Escanciano - Management Science, 2017 - pubsonline.informs.org
The Basel Committee on Banking Supervision (BIS) has recently sanctioned expected
shortfall (ES) as the market risk measure to be used for banking regulatory purposes …

A theoretical and empirical comparison of systemic risk measures

S Benoit, G Colletaz, C Hurlin… - HEC Paris Research …, 2013 - papers.ssrn.com
We derive several popular systemic risk measures in a common framework and show that
they can be expressed as transformations of market risk measures (eg, beta). We also derive …

Forecasting volatility with empirical similarity and Google Trends

A Hamid, M Heiden - Journal of economic behavior & organization, 2015 - Elsevier
This paper proposes an empirical similarity approach to forecast weekly volatility by using
search engine data as a measure of investors attention to the stock market index. Our model …

Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall

M Kratz, YH Lok, AJ McNeil - Journal of Banking & Finance, 2018 - Elsevier
Abstract Under the Fundamental Review of the Trading Book, capital charges are based on
the coherent Expected Shortfall (ES) risk measure, which is sensitive to tail risk. We argue …

Risk models-at-risk

CM Boucher, J Daníelsson, PS Kouontchou… - Journal of Banking & …, 2014 - Elsevier
The experience from the global financial crisis has raised serious concerns about the
accuracy of standard risk measures as tools for the quantification of extreme downward …

Utilizing professional accounting concepts to understand and respond to academic dishonesty in accounting programs

M Bujaki, C Lento, N Sayed - Journal of Accounting Education, 2019 - Elsevier
We apply professional accounting concepts to academic fraud in accounting education.
First, we use the fraud triangle to understand professors' perceptions of academic …

Risk assessment of COVID-19 based on multisource data from a geographical viewpoint

Y Zhang, Y Li, B Yang, X Zheng, M Chen - IEEE Access, 2020 - ieeexplore.ieee.org
In June 4, 2020, Corona Virus Disease 2019 (COVID-19) cases in Wuhan were cleared, and
the epidemic situation was basically controlled. Such public safety infectious disease …

Powerful backtests for historical simulation Expected Shortfall models

Z Du, P Pei, X Wang, T Yang - Journal of Business & Economic …, 2024 - Taylor & Francis
Abstract Since 2016, the Basel Committee on Banking Supervision has regulated banks to
switch from a Value-at-Risk (VaR) to an Expected Shortfall (ES) approach to measuring the …