[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...

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...

This chapter is an overview of a new kind of economics of the movies; it also is my attempt to lay a new foundation of the economics of art and culture. The essence of cultural goods is that they are creative goods that have no natural limit on their consumption or dissemination; they are...

In this article, the authors present a conceptual framework named 'Adaptive Seriational Risk Parity' (ASRP) to extend Hierarchical Risk Parity (HRP) as an asset allocation heuristic. The first step of HRP (quasi-diagonalization) determining the hierarchy of assets is required for the actual...

This paper analyses the fundamental drivers of risk and return in portfolios of private equity fund investments. We draw on a large data set of 771 mature European and North American primary buyout funds with historic performance information from Preqin covering vintages from 1998-2007. Using...

Market-driven defaults, such as Archegos, made manifest the dangerous interplay between leverage and wrong way risk (WWR) and the egregious impact of this non-linear dynamics on the credit loss distribution. In the following, Fabrizio Anfuso generalises the WWR exposure model introduced in...

Risk assessments often encounter extreme settings with very few or no occurrences in reality. Inferences about risk indicators in such settings face the problem of insufficient data. Extreme value theory is particularly well suited for handling this type of problems. This paper uses a...

This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation, i.e. bootstrap-t interval, percentile...

A common problem in asset and portfolio risk and performance analysis is that the manager has such a short history of asset returns that risk and performance measure estimates are quite unreliable. But the manager has available long histories of many risk factors and can use a subset of them to...