In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP …) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify … the pro-cyclicality of the current way financial institutions measure their risk. Analysing 11 stock indices, we show that …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

risk, is attributed to the loss in utility due to being led to hunt for an inappropriate portfolio. We quantify the utility …

We analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of … an aggregate risk value. We focus on the modeling and forecasting of proportional contributions to risk. Compositional …

loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …) on the daily closing price of JKII from 1 August 2020-13 August 2021 to predict the price and loss risk of JKII at 16 … 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one …

its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up … from statistical decision theory to overcome the problem of "elicitability" for ES by jointly modelling ES and VaR, and … propose new dynamic models for these risk measures. We provide estimation and inference methods for the proposed models, and …

estimates lead in turn to substantial gains for forecasting various risk measures at horizons ranging from a few days to a few … underestimation of risk during bad times or overestimation of risk during good times. We assess the attainable improvements in VaR …

risk of extreme climate conditions. However, being confronted with inaccurate forecast systems may undermine individuals …

risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT … must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at … Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are …