use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the … portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework …

during the period of the financial crisis. In a Value-at-Risk (VaR) analysis, finally, we further illustrate the advantages … confidence levels while other models fail to specify the risk correctly. This analysis shows that ignoring the actual nature of … dependence might lead to an underestimation of the risk for portfolios combining EUAs with commodities or equity investments …

-Bernanke period only. Focusing on this period, the “risk-management” approach is found to be responsible for monetary policy easings …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … losses (EL), and its effect on portfolio risk is ambiguous. But once EL is controlled for, neglecting parameter heterogeneity … leads to overestimation of risk. These results are verified empirically where it is shown that heterogeneity in the default …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …

In higher education, pure credit market funding leads to underinvestment due to insufficient risk pooling, while pure …