Researchers from Castilla La Mancha University Report Details of New Studies and Findings in the Area of Risk Management (Risk quantification in…

Researchers from Castilla La Mancha University Report Details of New Studies and Findings in the Area of Risk Management (Risk quantification in turmoil markets)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Current study results on Risk Management have been published. According to news reporting originating in Albacete, Spain, by VerticalNews journalists, research stated, "The aim of this paper is to examine the performance of the Value-at-Risk measure under different distributional models in the highly demanding context of the recent financial crisis. This task is one of the main challenges of the financial industry."

The news reporters obtained a quote from the research from Castilla La Mancha University, "In addition to the noimal and Student's t distributions, we analyze three distributions especially appropriate for capturing tail risk: the generalized Pareto distribution (GPD), the alpha-stable distribution, and the g-and-h distribution. We also address the problem of efficiently estimating the parameters of these distributions."

According to the news reporters, the research concluded: "Our backtesting analysis shows that GPD and alpha-stable distributions perform well for this risk measurement purpose."

For more information on this research see: Risk quantification in turmoil markets. Risk Management-Journal of Risk Crisis and Disaster, 2017;19(3):202-224. Risk Management-Journal of Risk Crisis and Disaster can be contacted at: Palgrave Macmillan Ltd, Brunel Rd Bldg, Houndmills, Basingstoke RG21 6XS, Hants, England.

Our news correspondents report that additional information may be obtained by contacting A. Diaz, Castilla La Mancha University, Dept. of Econ & Finance, Albacete 02071, Spain. Additional authors for this research include G. Garcia-Donato and A. Mora-Valencia.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1057/s41283-017-0018-8. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

Keywords for this news article include: Albacete, Spain, Europe, Risk Management, Castilla La Mancha University.

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2017, NewsRx LLC