assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …

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 …

the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … over prevailing models for evaluating stock market risk exposure during distressed market periods. -- ARMA-GARCH model ; α …-stable distribution ; tempered stable distribution ; value-at-risk (VaR) ; average value-at-risk (AVaR) …

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …