There appears to be a consensus that the recent instability in global financial markets may be attributable in part to … the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … over prevailing models for evaluating stock market risk exposure during distressed market periods. -- ARMA-GARCH model ; α …

Portfolio risk estimation in volatile markets requires employing fat-tailed models for financial returns combined with … copula functions to capture asymmetries in dependence and an appropriate downside risk measure. In this survey, we discuss … how these three essential components can be combined together in a Monte Carlo based framework for risk estimation and …

performance and risk assessment. After constructing Bayesian estimators for alpha-stable distributions in the context of an ARMA … find that the conditional Bayesian model with stable innovations has superior risk prediction capabilities compared with … for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard …