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- W86204410 abstract "This paper proposes a new risk management strategy that uses combinations of two differentmodels to estimate VaR by conditioning the model choice on the prediction of bull and bearmarkets. The main goal of this research is to trigger financial risk managers to take a criticallook at their internal risk model(s). They should ask themselves whether there is room for furtherminimization of the capital charges, by conditioning their risk model choice on the prediction ofthe market condition. We describe various risk models and a pragmatic strategy to predict bulland bear markets, using a binomial logit model. Using a parametric linear Student t model withEWMA volatility with an optimized l leads to the best results for VaR estimation, looking at thenumber of violations and the average minimum required capital. For the prediction of bull andbear markets, using the Schwarz Information Criterium for variable selection leads to an out-of-sample hitrate of more than 85%. No combinations of two different models are found, that leadto a significant decrease in the average minimum required capital." @default.
- W86204410 created "2016-06-24" @default.
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- W86204410 date "2011-05-12" @default.
- W86204410 modified "2023-09-27" @default.
- W86204410 title "Estimating Value-at-Risk Conditional on Bull and Bear Predictions" @default.
- W86204410 hasPublicationYear "2011" @default.
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