can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …

to meet their financial obligations. It is based on classical financial-statement approach, a direct inclusion of risk …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

The focus of this article is the analysis of the inflation risk of European real estate securities. Following both a … causal and a final understanding of risk, the analysis is twofold. First, to examine the causal influence of inflation on … shortfall risk measures are used to study whether an investment in European real estate securities protects against a negative …

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 … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …