The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In … particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk … measures, namely Value-at-Risk (VaR) and Expected Shortfall (ES). While ES is found to measure the tail risk contribution …

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These … backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk … estimation error, and propose robust tests that account for it. Monte Carlo experiments show that the tests that ignore these …

In this paper we derive an exposure-based measure of Cash-Flow-at-Risk (CFaR). Existing approaches to calculating CFaR … either only focus on cash flow conditional on market changes or neglect market-risk exposures entirely. We argue here that an … essential first step in a risk-management program is to quantify cash-flow exposure to macroeconomic and market risk. This is …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

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 …

stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, we model the value-at-risk using a … set of univariate GARCH-type models. Our results show that, in both in-sample and out-of-sample value-at-risk estimations …. We suggest an asset-specific approach to selecting the correct parametric VaR model that depends not only on the risk …

papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The … papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk … under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes …

have to operate under a given insolvency regime after they acquire the bad assets, existing bankruptcy procedures have an …This paper focuses on the legal environment, particularly the insolvency system, that would influence the success of … proposed legal bankruptcy reforms that would affect the effectiveness of SPVs. …