The U.S. housing market is showing multiple warning signs of stress that could impact property values. Rising mortgage delinquencies, decreased buyer demand, and swelling inventory are creating ...

Abstract: The entropic value-at-risk (EVaR) is a coherent risk measure that is efficiently computable for the sum of independent random variables. This paper shows how this risk measure can be used in ...

At one point in March, management VAR for equity risk – calculated with a one-day horizon and a 95% confidence level – touched $138 million, the hottest reading since Q1 2009, when the metric hit $156 ...

Standard GARCH and GAS models are included as benchmarks. The performance of the models are assessed using Value-at-Risk (VaR) estimation, backtesting (in-sample and out-of-sample) and volatility ...