Handling risk factors in the context of a multi-asset risk parity portfolio allocation has created increased interest in recent literature. When allocating along risk factors through principal components, one major problem that persists is the potential existence of leverage or short positions...

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

Over the last few years, Bitcoin and other cryptocurrencies have attracted the interest of many investors, practitioners and researchers. However, little attention has been paid to the predictability of their risk measures. In this paper, we compare the predictability of the one-step-ahead...

In a world that is increasingly connected on-line, cyber risks become critical. Cyber risk management is very difficult, as cyber loss data are typically not disclosed. To mitigate the reputational risks associated with their disclosure, loss data may be collected in terms of ordered severity...

Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new solvency regulations allow companies to include diversification in their computation of risk-based capital (RBC). The question is how to really evaluate those benefits.To...

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

Wir beschäftigen uns mit dem Auftreten von Autokorrelationseffekten bei der Messung langfristiger Markrpreisrisiken. Dazu diskutieren wir zwei verbreitete Methoden der Value at Risk (VaR) Schätzung, nämlich die Historische Simulation und die Wurzel-t-Regel. Beide Verfahren werden aufgrund...

The purpose of this paper is to investigate whether a dynamic Value at Risk model and high frequency realized volatility models can improve the accuracy of 1-day ahead VaR forecasting beyond the performance of frequently used models. As such, this paper constructs 60 conditional volatility...

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...