We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures …, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte …-Carlo techniques. The phenomenon is demonstrated for mixture models adapted from credit risk analysis as well as for common Poisson …

Abstract. We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk … measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte …-Carlo techniques. The phenomenon is demonstrated for mixture models adapted from credit risk analysis as well as for common Poisson …

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 … investments. When the portfolio size is increased from 15 to 200 there are few marginal risk diversification effects on the one …

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 … investments. When the portfolio size is increased from 15 to 200 there are few marginal risk diversification effects on the one …

restrictive hedge accounting rules, banks cannot adequately portray their best practice risk management activities under Current …