estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …The catastrophic failures of risk management systems in 2008 bring to the forefront the need for accurate and flexible …

the Value at Risk (VaR) and the Expected Short-Fall (ES) at 95% and 99%. One of the results on calculating the maximum …

real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of … ready-made approaches to risk management analysis. However, EVT is usually applied to standardized returns to offer more …

In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk …

construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …

construct managed portfolios of a risk-free asset and market index. …