1-4 September 2015
Angers - France
Europe/Paris timezone

On the Estimation Methods for Risk Measurement

3 Sep 2015, 11:50
30m
Angers - France

Angers - France

Speaker

Dr HASSAN OMIDI FIROUZI (LABEXREFI)

Description

Banks and financial institutions can use either the internal models-based approach or the standardized approach to assess and report the risk of the trading book for future periods. In this paper, we examine relevant estimation methods for computing Value at Risk (VaR) and Expected Shortfall (ES) for banks at both desk level and bank-wide level. We provide a benchmark method for estimation and study financial and statistical properties of the method. We provide numerical results for different hypothetical portfolios.

Primary author

Dr HASSAN OMIDI FIROUZI (LABEXREFI)

Co-author

Prof. Jean-Paul Laurent (Université Paris 1 Panthéon-Sorbonne)

Presentation Materials