The financial services sector has internationalized over the last few decades.Important differences and similarities in financial behavior can be anticipated between both consumers within a particular country and those living in different countries.For companies in this market, the appropriate...

Les prestations de services professionnels sont par définition intangibles et génèrent en conséquence une perception de risque et d’incertitude chez le client. Pour y remédier, la confiance a été identifiée comme étant la solution idéale. Or, l’idée dominante est que le...

Consumers can accumulate product information on the basis of a combination of searching, product advertising and expert advice.Examples of experts who provide product information include doctors advising patients on treatments, motor mechanics diagnosing car problems and recommending repairs,...

In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...

In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...