2 papers
q-fin.RM2024
Tail risk forecasting with semi-parametric regression models by incorporating overnight information
Cathy W. S. Chen, Takaaki Koike, Wei-Hsuan Shau
This research incorporates realized volatility and overnight information into risk models, wherein the overnight return often contributes significantly to the total return volatili…
q-fin.RM2024
Forecasting and Backtesting Gradient Allocations of Expected Shortfall
Takaaki Koike, Cathy W. S. Chen, Edward M. H. Lin
Capital allocation is a procedure for quantifying the contribution of each source of risk to aggregated risk. The gradient allocation rule, also known as the Euler principle, is a…