returns for constituents of the S&P 500 index. We assess the implication for one-day ahead 95% and 99% Value-at-Risk (VaR … Storey (2002) to estimate the percentage of stocks for which the model yields correct VaR and ES forecasts, we reach the …-parametric kernel density estimate performs well; it yields correct VaR and ES forecasts for an estimated 90% to 95% of the S&P 500 …

with a duration-based POT method, and extreme market risk and extreme value theory. … papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The … papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk …

credit risk. The specification effect can lead to Value-at-Risk (VaR) reductions in the range of 3 percent to 47 percent …We investigate the effect of model specification on the aggregation of (correlated) market and credit risk. We focus on … the functional form linking systematic credit risk drivers to default probabilities. Examples include the normal based …

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported … normally and fat tailed distributed returnsand show that adjustment is particularly relevant for downside risk measures in … thecase of fat tails. A hedge fund case study reveals that the unadjusted risk measuresconsiderably underestimate the true …

(2), 231-247.<P> An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES … approach outperforms several alternative approaches in the sense of more accurate VaR and ES estimates given the same amount of …

first partial moment is also obtained, which plays a vital role in financial risk management. The proof involves a …-sample distribution of the 2SLS estimatorof a structural parameter. Second, the Value at Risk and Expected Shortfall of a … quadraticportfolio with heavy-tailed risk factors. …

result, albeit less strong, holds when compared to combined density forecasts based on equal weights. In addition, VaR … estimates improve a t the short horizon, in particular when compared to estimates based on equal weights or to the VaR estimates …

for Value-at-Risk. Applications to simple AR and ARCH time series models show that its power in detecting certain …

idiosyncratic part, and a second independent factor. We show that the fat-tailed-based downside risk, measured as value-at-risk (VaR …Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this article we compare … the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat …