through the emergence of quantitative Risk Management, EVT has entered more recently the finance stage as a useful to olkit for …

In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with … example in order to illustrate the impact of netting agreements in credit risk management. We further provide nonparametric …

levels. We test extensively our approach in the context of real data applications to VaR prediction for market risk, and find … estimation risk of robust VaR forecasts implies VaR prediction intervals that can be nearly 20% narrower and 50% less volatile …

Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is … economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to … measure risk adequately in a multi period context, we then extend the coherent expected shortfall to time-conditional expected …

consider portfolio optimization problems. Such problems, involving conditional value at risk, play an important role in … portfolio optimization and financial risk management. Therefore, besides testing the performance of the proposed algorithm, we …

In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market … distributions have di.erent moment properties at their right and left tails. Therefore, risk and reward are not equally likely in …