"Constant proportion portfolio insurance" (CPPI) is nowadays one of the most popular techniques for portfolio insurance strategies. It simply consists of reallocating the risky part of a portfolio with respect to market conditions, via a leverage parameter - called the multiple - guaranteeing a...

We present several estimates of measures of risk amongst the most well-known, using both high and low frequency data. The aim of the article is to show which lower frequency measures can be an acceptable substitute to the high precision measures, when transaction data is unavailable for a long...

We discuss a class of risk measures for portfolio optimization with linear loss functions, where the random returns of financial instruments have a multivariate elliptical distribution. Under this setting we pay special attention to two risk measures, Value-at-Risk and Conditional-Value-at-Risk...

Several approaches exist to model decision making under risk, where risk can be broadly defined as the effect of variability of random outcomes. One of the main approaches in the practice of decision making under risk uses mean-risk models; one such well-known is the classical Markowitz model,...

The empirical evidence of heavy tails in stock return data is recognised by risk managers as an important factor in assessing the Value-at-Risk and risk profile of investment portfolios. Tail index estimation appears to be a tailor-made tool for estimating the extreme quantiles of heavy tailed...

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, a location-scale transformation and a transformation to polar coordinates are used....

Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and...

Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates...

In this paper various Value-at-Risk techniques are applied tot the Dutch stock market index AEX and to the Dow Jones Industrial Average. the main conclusions are: (1) Changing volatility over time is the most important characteristic of stock returns when modelling value-at-risk; (2) For high...

In this paper various Value-at-Risk techniques are applied to the Dutch stock market index AEX and to the Dow Jones Industrial Average. The main conclusion are: (1) Changing volatility over time is the most important characteristic of stock returns when modelling value-at-risk; (2) For low...