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Robust Risk Measures in Real Time Settings

实时设置中强大的风险措施

基本信息

批准号：
178371044
负责人：
Professor Dr. Winfried Franz Xaver Pohlmeier
金额：
--
依托单位：
Lehrstuhl für Volkswirtschaftslehre, insbesondere Ökonometrie
依托单位国家：
德国
项目类别：
Research Grants
财政年份：
2010
资助国家：
德国
起止时间：
2009-12-31 至 2013-12-31
项目状态：
已结题

来源：
https://gepris.dfg.de/gepris/projekt/178371044?language=en
关键词：
Robust Risk Measures Real Time

项目摘要

The recent financial crisis has cast serious doubts on the accuracy and appropriateness of measures of onesided risks proposed in academia and used by financial institutions in practice. Popular measures like the Value-at-Risk and the Expected Shortfall have failed in market situations when they were needed most urgently. The research project proposed contributes to the research on the model risk of risk models. It aims at identifying the sources of these failures and at enhancing the robustness of risk measurement in real time settings. Two strategies of generalizing standard risk measures will be pursued by (i) developing real time econometric approaches for different dimensions (model choice, market setting, sampling window, etc.) to improve prediction accuracy and robustness w.r.t. changing market conditions, and by (ii) developing real time multivariate frameworks to account for multifaceted nature of risk interdependencies and their driving forces such as market liquidity. The superiority of the new approaches will be worked out theoretically as well as in terms of out-of-sample prediction performance for a wide range of securities, markets and market conditions. Evaluations of the empirical performance will be based on standard backtesting procedures, statistical goodness of fit criteria as well as economic or financial criteria.

最近的金融危机使人们对学术界提出的、金融机构在实践中使用的片面风险衡量标准的准确性和适当性产生了严重的怀疑。像风险价值和预期缺口这样的常用措施在市场情况下最迫切需要的时候都失败了。提出的研究项目有助于风险模型的模型风险研究。它旨在确定这些故障的来源，并在实时设置中增强风险度量的稳健性。推广标准风险措施的两种策略将通过(i)开发不同维度的实时计量经济学方法（模型选择、市场设置、抽样窗口等）来提高预测的准确性和鲁棒性，以适应不断变化的市场条件，以及（ii）开发实时多变量框架来解释风险相互依赖的多面性及其驱动力，如市场流动性。新方法的优越性将在理论上以及在广泛的证券、市场和市场条件下的样本外预测性能方面得到证明。对实证表现的评价将基于标准的回测程序、统计拟合优度标准以及经济或财务标准。