. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …

system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been … identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk - (p. 3 …The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics …

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

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR …

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk … assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited … liability. When capital raising is costly, poorly capitalized banks may limit risk to avoid breaching the minimal capital ratio …

idiosyncratic part, and a second independent factor. We show that the fat-tailed-based downside risk, measured as value-at-risk (VaR …Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this article we compare … the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat …

backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk … (VaR) and ES. We provide explicit expressions for the additional terms in the asymptotic covariance matrix that result from … application to VaR and ES forecasts for daily FTSE 100 index returns as generated by AR-GARCH, AR-GJR-GARCH, and AR-HEAVY models …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … from the total portfolio’s VaR, there is agrowing need for information about (i) the marginal contribution of the … individual portfolio components tothe diversified portfolio VaR, (ii) the proportion of the diversified portfolio VaR that can be …