In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To … sample properties in realistic sample settings (5% coverage rate with estimation risk). An application on a portfolio …

, we address a discussion on this topic proposing the concept of meta-distribution which can be used to improve risk …

along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk …

Some company boards of directors and management teams are still reluctant to embrace enterprise risk management (ERM …) because of the uncertainty regarding its value to the bottom line. A survey of audit and risk management executives suggests … that the use of ERM leads to increased management consensus, better-informed decisions, enhanced communication of risk …

Farm risk management for income stabilization is on-going issue. An applied work has been performed to measure farm … risk using a stochastic model. Risk management tools, with symmetric as well as asymmetric impacts, are then tested and … compared through ad hoc statistics. Normal farm business risk can be efficiently managed using a precautionary saving provision …

bankruptcies. This article applies extreme value theory results to quantify the extreme downside risk of the S&P 500 stock index in …

This work deals with strategies of risk management techniques in projects and portfolios in the situation of radical … innovation. Existing literature suggests different methods of risk management at the level of 1) projects (S1) (unknown reduction … by selecting a priori the less uncertain projects, depending on the identified market and technological risk) 2 …

competing density forecasts over a specific region of interest, such as the left tail in financial risk management. These …