The higher moments of a distribution often lead to estimated value-at-risk (VaR) biases. This study's objective is to examine the backtesting of VaR models that consider the higher moments of the distribution for minimum-variance hedging portfolios (MVHPs) of the stock indices and futures in the...

Purpose – The determination of the capital requirements represents the first Pillar of Solvency II. The main purpose of the new solvency regulation is to obtain more realistic modelling and assessment of the different risks insurance companies are exposed to in a balance-sheet perspective. In...

Purpose – The determination of the capital requirements represents the first Pillar of Solvency II. The main purpose of the new solvency regulation is to obtain more realistic modelling and assessment of the different risks insurance companies are exposed to in a balance‐sheet perspective....

There is ample empirical evidence on the presence of structural changes in financial time series. Structural breaks are also shown to contribute to the leptokurtosis of financial returns and explain at least partly the observed persistence of volatility processes. This paper explores whether...