High price volatility in energy markets compels the companies to adopt and implement policies for measurement and management of the energy risk. A popular measure of risk exposure is the Value at Risk (VaR). Traditional methods of estimation of VaR used by major energy companies fail to capture...

Closed-form expressions for basic risk measures, such as value-at-risk and tail value-at-risk, are given for a family of statistical distributions that are specially suitable for right-skewed positive random variables. This is useful for risk aggregation in many insurance and financial...

For the purpose of risk management, the study of tail behavior of multiple risks is more relevant than the study of their overall distributions. Asymptotic study assuming that each marginal risk goes to infinity is more mathematically tractable and has also uncovered some interesting performance...

This paper compares two alternative estimation methods for estimating the density underlying financial returns specified in terms of a finite Gram–Charlier (GC) expansion. Maximum likelihood (ML) is the most widely employed method despite the fact that it is only consistent under the Gaussian...

This study examines the Value-at-Risk for ten euro-zone equity markets individually and also divided into two groups: PIIGS (Portugal, Italy, Ireland, Greece and Spain) and the Core (Austria, Finland, France, Germany and the Netherlands), employing four VaR estimation and evaluation methods...

The current research on credit risk is primarily focused on modelling default probabilities. Recovery rates are often treated as an afterthought; they are modelled independently, in many cases they are even assumed to be constant. This despite their pronounced effect on the tail of the loss...

In the fast changing financial circumstances of nowadays, in avoiding the crisis of closing down, financial institutions are concerned about the efficiency and risk strictly in the meantime. Therefore, efficiency and risk management are goals for a financial institution administrator. Data...

The phenomenon of the occurrence of rare yet extreme events, “Black Swans” in Taleb's terminology, seems to be more apparent in financial markets around the globe. This means there is not only a need to design proper risk modelling techniques which can predict the probability of risky events...

We introduce a ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods, without specifying a fixed benchmark method. The period including the recent credit crisis offers a unique laboratory for the...

GARCH models are commonly used for describing, estimating and predicting the dynamics of financial returns. Here, we relax the usual parametric distributional assumptions of GARCH models and develop a Bayesian semiparametric approach based on modeling the innovations using the class of scale...