RT Report
T1 Risk Management of Precious Metals
A1 Hammoudeh, Shawkat
A1 Malik, Farooq
A1 McAleer, Michael
AB This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside market risk associated with investments in precious metals, and to design optimal risk management strategies. We compute the VaR for major precious metals using the calibrated RiskMetrics, different GARCH models, and the semi-parametric Filtered Historical Simulation approach. The best approach for estimating VaR based on conditional and unconditional statistical tests is documented. The economic importance of the results is highlighted by assessing the daily capital charges from the estimated VaRs.
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2011
FD 2011-03
LK https://hdl.handle.net/20.500.14352/48974
UL https://hdl.handle.net/20.500.14352/48974
LA eng
DS Docta Complutense
RD 7 abr 2025