[Statlist] Research Seminar in Statistics | *FRIDAY 3 MARCH 2023* | GSEM, University of Geneva

[gsem-support-instituts]

Dear all,

We are pleased to invite you to our next Research Seminar, organized by Professor Sebastian Engelke on behalf of the Research Center for Statistics. (https://www.unige.ch/gsem/en/research/institutes/rcs/team/)

FRIDAY 3 MARCH 2023 at 11:15 am, Uni Mail M 3393 & Online
Zoom research webinar: https://unige.zoom.us/j/92924332087?pwd=U1U1NFk4dTFCRHBMeWYrSDBQcXBiQT09
Meeting ID: 929 2433 2087
Passcode: 399192

Estimating Conditional Systemic Risk Measures in Semi-Parametric Volatility Models
(jointly with Loïc Cantin and Christian Francq, CREST)
Jean-Michel ZAKOÏAN, ENSAE, France
https://www.ensae.fr/en/faculty/147-jean-michel-zakoian

ABSTRACT:
We propose a two-step semi-parametric estimation approach for dynamic Conditional VaR (CoVaR), from which other other systemic risk measures such as the Delta-CoVaR can be derived. The CoVaR allows to define reserves for a given financial entity, in order to limit exceeding losses when a system is in distress. We assume that all financial returns in the system follow semi-parametric GARCH-type models. Our estimation method relies on the fact that the dynamic CoVaR of one return conditional to a second return series is the product of the volatility of the financial entity's return and a conditional quantile term involving the innovations of the different returns. We show that the latter quantity can be easily estimated from residuals of the GARCH-type models estimated by Quasi-Maximum Likelihood (QML). The study of the asymptotic behavior of the corresponding estimator and the derivation of asymptotic confidence intervals for the dymanic CoVaR are the main purposes of the paper. Our theoretical results are illustrated via Monte-Carlo experiments and real financial time series.

> View the Research Seminar agenda: https://www.unige.ch/gsem/en/research/seminars/rcs/

Regards,


Marie-Madeleine

Marie-Madeleine Novo
Assistant to the Research Institutes
Mail.unige.ch