2 citations · 2 across the 6 of their papers we have counts for
3 papers · 1 filter
Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling
Luca Spadafora, Francesca Sivero, Nicola Picchiotti
This paper proposes a new integrated variance estimator based on order statistics within the framework of jump-diffusion models. Its ability to disentangle the integrated variance…
The efficiency of Anderson-Darling test with limited sample size: an application to Backtesting Counterparty Credit Risk internal model
M. Formenti, L. Spadafora, M. Terraneo +1
This work presents a theoretical and empirical evaluation of Anderson-Darling test when the sample size is limited. The test can be applied in order to backtest the risk factors dy…
Value-at-Risk time scaling for long-term risk estimation
Luca Spadafora, Marco Dubrovich, Marcello Terraneo
In this paper we discuss a general methodology to compute the market risk measure over long time horizons and at extreme percentiles, which are the typical conditions needed for es…