risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models … to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …

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

increase if country selection is incorporated into the strategies, but the risk of the strategies increases proportionally … for the excess returns. We find no evidence of higher market risk or lower liquidity of the strategies. Instead, based on …

This experimental study is concerned with the impact of the timing of the resolution of risk on people’s willingness to … inferred from decisions regarding hypothetical choice problems, we had participants put their own money at risk in a real … period under delayed resolution (which involved two days). Affective traits and risk attitudes were measured through a web …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk. Depending on both …