quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …

. Based on these active risk factors, an adjustment for intertemporal dependency is made. The authors extend TEDAS methodology … to three gestalts differing in allocation weights’ determination: a Cornish-Fisher Value-at-Risk minimization, Markowitz …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms …