quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels …

One of the key components of financial risk management is risk measurement. This typically requires modeling … financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …The catastrophic failures of risk management systems in 2008 bring to the forefront the need for accurate and flexible …

the Value at Risk (VaR) and the Expected Short-Fall (ES) at 95% and 99%. One of the results on calculating the maximum …

, such as the European Banking Authority (EBA), have acknowledged that ESG factors can contribute to risk. Therefore, it is … that risk can also depend on and be directly associated with a specific ESG rating class. Empirical findings on real …

the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them …Considerable literature has been devoted to developing statistical inferential results for risk measures, especially … a number of risk measures that are of the form of ratios, or even more complex combinations, of two L-functionals. In …