One of the main challenges for the regulatory authorities in the aftermath of the last financial crisis is to define pragmatical and practicable risk concepts for the control and the regulation of systemic risks. They need for this purpose risk models that on one hand can capture the macro...

A simple methodology is presented for modeling time variation in volatilities and other higher-order moments using a recursive updating scheme similar to the familiar RiskMetrics(TM) approach. We update parameters using the score of the forecasting distribution. This allows the parameter...

Beside the development of new technology, of globalization, of more democracy in the world, financial markets have changed dramatically over the recent years. The banks nowadays have had to face with more competition than ever. Banks are the financial institutions that have a very important...

Volatility forecasting has paramount importance in position sizing and risk management of CTAs. In this paper we examine the out-of-sample forecasts of widely used volatility estimators for the S&P 500 and the 10-Year US Note from a statistical and Value-at-Risk perspective. Although we do not...

Testing the validity of Value-at-Risk (VaR) forecasts, or backtesting, is an integral part of modern market risk management and regulation. This is often done by applying independence and coverage tests developed in Christoffersen (1998) to so-called hit-sequences derived from VaR forecasts and...

In Lecesne and Roncoroni (2013), we introduce the notion of monetary measure of risk borne by any financial claim. Our presentation moves from general definitions to concrete instances, including the benchmark measure Value-at-Risk (VaR). Part II develops a treatment of the class of coherent...

Tail interdependence is defined as the situation where extreme outcomes for some variables are informative about such outcomes for other variables. We extend the concept of multi-information to quantify tail interdependence at different levels of extremity, decompose it into systemic and...