An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … Garman [1996a, 1997a] under the assumption that returns are drawnfrom a multivariate normal distribution. For many portfolios … to cause seriousdistortions in VaR calculations, one has to resort to either alternative distribution specifications …

sample behavior of the resulting estimators. We use these new estimators for dealing with a central issue in credit risk. We …

interquantile expectation (IQE) of the random variable of interest, without specifying the conditional distribution of the … interval between two quantiles, or in an interval that covers the range of the distribution to the left or right of a quantile … and the asymptotic distribution of the estimator, and provide a consistent estimator of the asymptotic covariance matrix …

distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of … the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same … distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying …

rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …