In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known rates when the underlying time series in strictly stationary abd strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with...

A transformation kernel density estimator that is suitable for heavy-tailed distributions is discussed. Using a truncated Beta transformation, the choice of the bandwidth parameter becomes straightforward. An application to insurance data and the calculation of the value-at-risk are presented.

Taking into account that one of the most important factors which have caused the financial crisis was the bad risk management practices in banks we want to confirm the need to develop more efficient risk management practices. The fact that return distributions are characterized by time varying...

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...

The objective of this paper is to determine how relative market and credit risk changes among European sectors during times of extreme market fluctuations. Ten sectors comprising the S&P Euro index are compared prior to and during the Global Financial Crisis (GFC). Market risk is measured using...

Portfolio optimization problems involving value at risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are compounded when the portfolio contains...

This paper proposes a robust multivariate threshold vector autoregressive model with generalized autoregressive conditional heteroskedasticities and dynamic conditional correlations to describe conditional mean, volatility and correlation asymmetries in financial markets. In addition, the...

Measuring, controlling and managing operational risk have played an important role for bank industry endeavors since the publication of Basel II (2006) as the regulatory framework for the effective management and supervision of financial risks. More recently, due to the current financial crisis,...

L’objet de cet article est de dresser une tentative d’adaptation de la méthodologie RAROC (risk adjusted return on capital), utilisée en banque, au domaine de l’assurance-vie. Après avoir rappelé que la nécessité de constituer des fonds propres économiques est similaire pour une...

Six methods for measuring food security are identified from the literature. The dietary intake method (DIM) and the food insecurity experienced-based measurement scales (FIEMS), the two most commonly used, were empirically tested using 1152 rural households in the Punjab province of Pakistan....