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 …

-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 …

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

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

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

its asymptotic distribution, and we show how this distribution can be approximated by bootstrap methods. Our analysis …

evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …