We compare several models that forecast ex-ante Bitcoin one-day Value-at-Risk (VaR), starting from the simplest ones like Parametric Normal and Historical Simulation and arriving at Historical Filtered Bootstrap and Extreme Value Theory Historical Filtered Bootstrap. We also consider Gaussian...

Options are financial derivatives which are used as risk management tools for hedging the portfolios. The options traders can play safely in the volatile markets with the help of knowledge of the Greeks associated with the options. This study is focused at providing the knowledge of the Greeks...

Since private equity investments are not publicly traded, a key issue in measuring investment risks of institutional private equity investors arises from a careful measurement of investment returns in the first place. Prices of private equity investments are typically observed at low frequency...

We investigate the relationship between Value, Growth and two forms of Momentum across a wide range of developed and emerging international equity markets using MSCI total return ‘smart beta' indices. As would be anticipated, Value generally beats Growth. A distinction is then made between...

Value-at-Risk (VaR) is a well-accepted risk metric in modern quantitative risk management (QRM). The classical Monte Carlo simulation (MCS) approach, denoted henceforth as the classical approach, assumes the independence of loss severity and loss frequency. In practice, this assumption does not...