investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …

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 …

-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both …

risk. Risk and return are generally considered two positively correlated sizes, during the growth of risk it is expected … increase of return to compensate the higher risk. The quantification of risk in the capital market represents the current topic … assets. Three main Value at Risk (VaR) methodologies are decribed and explained in detail: historical method, parametric …