extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES … estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … contrast them with the popular Gaussian GARCH estimator in an extensive Monte Carlo simulation. The method we propose generally …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

standard approaches (student-t-distribution, log normal, historical simulation) and sophisticated volatility models (EWMA …