fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias …-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both … long and short positions. Our aim is to utilize the advantages of this model, but still use the bootstrap resampling method …

We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk …. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … underlying risk. We show, by numerical examples and empirical examples, how sensitive these indexes are to disaster risk …

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the … construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs … risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and …

irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the … EV models, especially in the developed markets. -- value at risk ; expected shortfall ; hybrid historical simulation …