The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less a ected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

This paper analyzes the impact of model complexity on the net present value distribution and the expected default probability of equity investments in project finance. Model complexity is analyzed along two dimensions: simulation complexity and forecast complexity. We aim to identify model...

Accurate Value at Risk (VaR) estimations are crucial for the robustness and stability of a financial system. Even though significant advances have been made in the field of risk modelling, many crises have emerged during the same period, and an explanation for this is that the advanced models...