An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk. Depending on both … distribution. For many portfolios, however, the assumption of normally distributed returns is too stringent. Whenever these … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation …

sample behavior of the resulting estimators. We use these new estimators for dealing with a central issue in credit risk. We …

distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of … the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same … distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying …

differenced series we are interested in when estimating interest rate risk exposures e.g. This paper presents a method to filter …