Operational risk is increasingly being recognised as a significant area of risk and regulation, yet there exists relatively little research on it. In this paper we show that operational risk represents a fundamental risk to option hedging and investigate it by proposing a new theoretical model....

This paper is concerned with linear portfolio value-at-risk (VaR) and expected shortfall (ES) computation when the portfolio risk factors are leptokurtic, imprecise and/or vague. Following Yoshida (2009), the risk factors are modeled as fuzzy random variables in order to handle both their random...

This paper studies the issue of modeling conditional covariance for a mixed-asset portfolio consisting of stock, bond, and REITs. We examine the performances of six commonly used covariance estimators. We find that no single estimator delivers the best performance when a wide range of...

In this paper we estimate the dependence structure between economic sectors in the Brazilian financial market through Pair Copula Construction. We use daily data from indices which represent telecommunications, energy, industrials, consumer, financial, basic materials and real estate sectors in...