Financial risk management using regime-switching GARCH models
| Responsable du projet | David Ardia |
| Résumé |
Several contributions have shown the statistical advantages of the
Bayesian approach for estimating RSGARCH models (Ardia, 2008;
Bauwens et al., 2010; Bauwens et al., in press). However, none has
attempted to determine the economic and social advantages of the
Bayesian approach. Our research project aims at filling this gap by
providing risk managers and regulators with new methodologies for
improving risk forecasts of their portfolios. As financial
institutions invest in thousands of assets, models and estimation
methods have to be tested on a large universe to reach relevant
conclusions. Our study will thus be conducted on the basis of
hundreds of stocks and asset classes worldwide. |
| Mots-clés |
GARCH, Markov-switching, Bayesian, Risk, VaR, ES |
| Type de projet | Recherche appliquée |
| Domaine de recherche | Risk management, financial econometrics |
| Source de financement | FSA, Laval University |
| Etat | Terminé |
| Début de projet | 1-2015 |
| Fin du projet | 2-2017 |
| Budget alloué | 7,500 CAD |
| Contact | David Ardia |