traditional forecasting models. The presented studies focus on the assessment of credit risk classes and on determination of the … differences in risk class migrations between non-bankrupt enterprises and future insolvent firms. For this purpose, the author has … developed a model of a Kohonen artificial neural network to determine six different classes of risk. Long-term analysis horizon …

. Our results indicate that institutional investors actively monitor underlying asset risk, and even gain an informational …

. Our results indicate that institutional investors actively monitor underlying asset risk, and even gain an informational …

The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In … particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk … measures, namely Value-at-Risk (VaR) and Expected Shortfall (ES). While ES is found to measure the tail risk contribution …