Scenario-based principal component value-at- risk when the underlying risk factors are skewed and heavy-tailed: an application to Italian banks' interest rate risk exposure

Pathwise grid valuation of fixed-income portfolios with applications to risk management

“…Due to the fat tails of empirical distributions, researchers also suggest the Student's t-distribution. Fiori and Iannotti (2007) pay attention to the skewness of empirical distributions and propose to generate a large number of new scenarios for the yield curve. Fiori and Iannotti (2007) derive the kernel densities and obtain the corresponding nonparametric probability distribution functions.…”

“… Fiori and Iannotti (2007) pay attention to the skewness of empirical distributions and propose to generate a large number of new scenarios for the yield curve. Fiori and Iannotti (2007) derive the kernel densities and obtain the corresponding nonparametric probability distribution functions. They create a new scenario for the yield curve changes by sampling from the distribution of each factor separately.…”

An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III

“…The authors then use this methodology to allow banks to incorporate industry risk using the relationship between market and credit risk. Allen and Powell (2009b) Much of the literature on VaR focuses on US and European commercial banks, see for example Berkowitz and O'Brien (2002), Cuoco and Liu (2006), Lucas (2001), Fiori and Iannotti, (2007), Perignon, Deng and Wang (2008) and Perignon and Smith (2010a and b), Berkowitz, Christoffersen and Pelletier (2011) to name a few. This is expected given the importance of the VaR calculation for commercial banks under the Basel Accords.…”

“…Much of the literature on VaR focuses on US and European commercial banks, see for example Berkowitz and O'Brien (2002), Cuoco and Liu (2006), Lucas (2001), Fiori and Iannotti (2007), Pérignon et al (2008) and Smith (2010a, 2010b), Berkowitz et al (2011) to name a few. This is expected given the importance of the VaR calculation for commercial banks under the Basel Accords.…”