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. …

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 from a variety of risk models, and discuss the …

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 … under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes …

daily 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 …

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

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 … credit risk. The specification effect can lead to Value-at-Risk (VaR) reductions in the range of 3 percent to 47 percent …

risk of thestrategies increases proportionally. Second, we test whether the strategies can be implementedsuccessfully in …, we examine several popularexplanations for the excess returns. We find no evidence of higher market risk or lower …