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Unveiling Early Warning Signals of Systemic Risks in Banks: A Recurrence Network-Based Approach
Bank crisis is challenging to define but can be manifested through bank contagion.
Value-at-Risk forecasting model based on normal inverse Gaussian distribution driven by dynamic conditional score
Under the framework of dynamic conditional score, we propose a parametric forecasting model for Value-at-Risk based on the normal inverse Gaussian distribution (Hereinafter NIG-DCS-VaR), which creatively incorporates intraday information into daily VaR forecast.
A Method for Predicting VaR by Aggregating Generalized Distributions Driven by the Dynamic Conditional Score
Constructing a more effective value at risk (VaR) prediction model has long been a goal in financial risk management.
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