Quantitativ e Risk Measurement & High Frequency Data Tezer Yelkenci Motivation Stylized facts Literature Methodology Data Findings Conclusion IUE Quantitative Risk Measurements & High Frequency Data Tezer Yelkenci İzmir University of Economics, İzmir, Turkey RM 496 Project: Risk Management and Insurance May 17th, 2012 Izmir
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Quantitative Risk Measurements & High Frequency Data
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Quantitative Risk
Measurement &
High Frequency Data
Tezer Yelkenci
Motivation
Stylized facts
Literature
Methodology
Data
Findings
Conclusion
IUE
Quantitative Risk Measurements&
High Frequency Data
Tezer Yelkenci
İzmir University of Economics, İzmir, Turkey
RM 496Project: Risk Management and Insurance
May 17th, 2012 Izmir
Quantitative Risk
Measurement &
High Frequency Data
Tezer Yelkenci
Motivation
Stylized facts
Literature
Methodology
Data
Findings
Conclusion
OversightIUE
1. Motivation
2. Stylized fact
3. Literature
4. Methodology
5. Data
6. Findings
7. Conclusion
Quantitative Risk
Measurement &
High Frequency Data
Tezer Yelkenci
Motivation
Stylized facts
Literature
Methodology
Data
Findings
Conclusion
MotivationIUE
High Frequency Trading
Accuracy of Quantitative Risk Measurement Techniques
6 May 2010, Flash Crash
Quantitative Risk
Measurement &
High Frequency Data
Tezer Yelkenci
Motivation
Stylized facts
Literature
Methodology
Data
Findings
Conclusion
Stylized factsIUE
56% of equity trades in the US and 38% in Europe belong to HFT
Quantitative Risk
Measurement &
High Frequency Data
Tezer Yelkenci
Motivation
Stylized facts
Literature
Methodology
Data
Findings
Conclusion
Stylized factsIUE
6 May 2010, Flash Crash
Quantitative Risk
Measurement &
High Frequency Data
Tezer Yelkenci
Motivation
Stylized facts
Literature
Methodology
Data
Findings
Conclusion
Literature ReviewIUE
Literature
Claudia Ceci:Risk minimizing hedging for a partially observed high frequency data model
Dobrislav Dobrev, Pawel Szersen:The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Quantitative Risk
Measurement &
High Frequency Data
Tezer Yelkenci
Motivation
Stylized facts
Literature
Methodology
Data
Findings
Conclusion
MethodologyIUE
Value at Risk Methods
Delta-Normal Value at Risk Historical Value at Risk Conditional Value at Risk
Backtesting Methods Dirty Test Kupiec’s POF Test Kupiec’s TUFF Test Basel II’s Traffic Light Test Christoffersen’s Interval Forecast Test Mixed Kupiec-Test
Quantitative Risk
Measurement &
High Frequency Data
Tezer Yelkenci
Motivation
Stylized facts
Literature
Methodology
Data
Findings
Conclusion
Type I & Type II ErrorsIUE
Error Types
Correct Model (p=0.01) Incorrect Model (p=0.03)Excep. PDF CDF PDF CDF
Delta-Normal Value at Risk Historical Value at Risk Conditional Value at Risk
Backtesting Methods Dirty Test Kupiec’s POF (Proportion of Failures) Test Kupiec’s TUFF (Time Until First Failure)Test Basel II’s Traffic Light Test Christoffersen’s Interval Forecast Test Mixed Kupiec-Test
Quantitative Risk
Measurement &
High Frequency Data
Tezer Yelkenci
Motivation
Stylized facts
Literature
Methodology
Data
Findings
Conclusion
DataIUE
Data Process
ISE100 Index (XU100) & Dow Jones Industrial Index (DJI)