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 …

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

estimation for the portfolio risk. Moreover we study the portfolio selection problem. We compute the marginal VaR and Component …, performance test, to realize the ”costs” of this risk reduction action in terms of potential return suppression. Little …

extreme risk modeling based on full distribution modeling and and extreme value theory …

In this paper we derive closed-form solutions for the cumulative density function and the average value-at-risk for …