Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility … functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of … conditional risk aversion to orders of conditional dependent risk aversion. We show that first-order conditional dependent risk …

risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models … to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk … VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that … maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily …