One of the key components of financial risk management is risk measurement. This typically requires modeling … financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …The catastrophic failures of risk management systems in 2008 bring to the forefront the need for accurate and flexible …

influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently … proposed asymmetric probability distributions and the APARCH and FGARCH volatility specifications beat more standard … alternatives for VaR forecasting, and they should be preferred when estimating tail risk. The flexibility of the free power …

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination …

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …

construct managed portfolios of a risk-free asset and market index. …