-estimation is traditionally done using an empirical conditional distribution function, we propose to use instead a smoothed … conditional distribution function. The asymptotic distribution of the proposed estimator is derived under mild B-mixing conditions …

Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk … measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall …

Decision making usually involves uncertainty and risk. Understanding which parts of the human brain are activated … during decisions under risk and which neural processes underly (risky) investment decisions are important goals in …-related activations in space and dynamics in time. Further, we classify the risk attitudes of all subjects based on the estimated …

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this … statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel … statistical tools for assessing changes in weather risk over time. We apply local t-test, change point tests and Mann-Kendall test …

Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For … sufficient in order to estimate Value at Risk and Expected Shortfall sufficiently, given confidence levels of 99.9% and 99 … obtain significantly more data points for the estimation of the respective risk measures. The presented methodology in the α …

Risk management and the thorough understanding of the relations betweenfinancial markets and the standard theory of … relative risk aversion) using stocks and options data... …