Considerable literature has been devoted to developing statistical inferential results for risk measures, especially … a number of risk measures that are of the form of ratios, or even more complex combinations, of two L-functionals. In … the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them …

the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide …We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory … for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which …

We describe characteristics of various risk measures (Value-at-Risk, Expected Shortfall, etc.) that are used to analyze … and quantify the tail risk exposure, and discuss their relative strengths and weaknesses. Emphasis is placed on presenting … and comparing methodologies to compute and backtest estimates for these risk measures, from a practical perspective. We …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … of volatility. Moreover, non-parametric measures af systematic risk are attainable, that can straightforwardly be used to …

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio … comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean … profit and loss data and Value-at-Risk estimates of the 11 banks, the paper specifically models and analyzes the portfolio …

the outcome distribution. We propose uniformly consistent estimators for both potential outcome distributions (treated and …-dimensional nonparametric regression. We apply the proposed estimators to estimate the effects of summer school on the distribution of school …

-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A …. Interestingly in our exchange rate example both structure and parameters vary dynamically. -- copula ; multivariate distribution …

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … of the risk neutral density. The first estimator is a kernel smoother of the second derivative of call prices, while the … we assume the existence of a stochastic discount factor (pricing kernel) which establishes the risk neutral density …