Abstract One of the impacts of financial liberalisation/deregulation to the risk management and regulation mechanisms … develop risk management rules, define capital level based on economic capital (instead of required capital) and develop … corrective measures to firm wide risk managament problems, before regulators. In this article, the authors analyse whether self …

Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR is popular … systematic risk exposure in developed markets like of the US, Europe and Asia. In this paper we analyze the accuracy of VaR … KSE-100 index loses at least 2.5% of its value. We also investigate the asset pricing implication of downside risk …

, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between … risk and asset management. Risk parity then became a popular financial model of investment after the global financial … and the redefinition of long-term investment policies. Introduction to Risk Parity and Budgeting provides an up …

, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct …We discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value-at-Risk …

An important aspect of portfolio risk management is the analysis of the overall risk with respect to the allocations to … the underlying assets. Marginal risk is the traditional tool used by portfolio managers to accomplish this. However, this … account of the portfolio. This paper proposes an extension of the traditional marginal risk approach as a means of overcoming …

Risk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of … expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular … investment model after the global financial crisis in 2008. However, risk parity has also been criticized because it focuses on …

. While data may be containing outliers, the method of least squares has a clear disadvantage as it may be pulled by extremely … small or large errors. The absolute deviation estimation of parameters is more suitable in such cases. This paper has made … an attempt to estimation of parameters of Sato’s two-level CES production function by minimizing the sum of absolute …

probability of insolvency for the insurer(s). …

serious doubts about the capacity of that country’s insolvency regime to deliver an outcome viewed as fair and consistent with …

bankruptcy proceeding in these countries are outlined. …