One of the key components of financial risk management is risk measurement. This typically requires modeling … financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

risky, motivating us to manage their risk. In this paper, we aimed to forecast the risk of Decentraland's MANA and Theta … combination with Bitcoin. To measure their risk, we proposed a modified aggregate risk measure (AggM) defined as a convex … combination of aggregate value-at-risk (AggVaR) and aggregate expected shortfall (AggES). To capture their dependence, we employed …

Predicting the risk of corporate bankruptcy is one of the most important challenges for researchers dealing with the … issue of financial health evaluation. The risk of corporate bankruptcy is most often assessed with the use of early warning …

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil …, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered …

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given … value-at-risk and expected shortfall, but the approach also works for other risk measures. …

on equity indices, we find that a strategy based on long-term portfolio volatility, as is imposed by the Synthetic Risk … higher leverage induced by the SRRI, nor the potential protection in downside markets pay off on a risk adjusted basis. …