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 …

Contemporary financial stochastic programs typically involve a trade-off between return and (downside)-risk. Using …. We find that the model can be tuned easily using Value-at-Risk (VaR) related benchmarks. In the multi-stage setting, we … formally prove that the optimal solution consists of a sequence of myopic (single-stage) decisions with risk …