Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled …

construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …

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 …

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These … backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk … estimation error, and propose robust tests that account for it. Monte Carlo experiments show that the tests that ignore these …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the … aretriggered by a general latent factor model involving systematic andidiosyncratic risk. We show explicitly how the tail behavior … of the distributionof these two risk factors relates to the tail behavior of the credit lossdistribution. Even if the …

model, we find the ECB program had a beneficial impact on extreme upper tail quantiles, leaning against the risk of …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …