Economics, Econometrics and Finance
4 years ago

New model outperforms traditional methods in estimating market risk measures.

Journal of Applied Finance and Banking
Market Risk Measures using Finite Gaussian Mixtures
Jorge Rosales Contreras

Paper Summary

Related papers

Economics, Econometrics and Finance
8 years ago

New method for measuring financial risks outperforms traditional approaches.

Financial Volatility
Insurance Dynamics
Oil Price Shocks
2 views
Economics, Econometrics and Finance
3 years ago

New Research Shows VaR Replacement Could Reduce Market Risk

Financial Volatility
2 views
Theme background image
Social Sciences
3 years ago

New risk model could prevent financial disasters in two-asset portfolios

Ageing Research
Robust Optimization
Financial Volatility
1 view

The article explores a new way to measure market risk using a model called Finite Gaussian Mixtures. This model helps estimate the risk of different investments in a portfolio. The researchers found that this new model is effective in calculating both Value at Risk (VaR) and Expected Shortfall (ES) for a variety of assets. By comparing their results to other common models, they showed that the Finite Gaussian Mixtures model is a strong contender for accurately predicting market risk.