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 … EV models, especially in the developed markets. -- value at risk ; expected shortfall ; hybrid historical simulation …

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …

-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …

from 1 January 1970 to 26 October 2023 as an illustration. The estimation results based on the first differenced logged …

-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …