This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in estimating tail distribution of portfolios,...

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and nonellipticity. It introduces a so-called...

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...

The aim of this study is to analyze the impact of credit risk mitigation via margining on the optimal portfolio selection for power plants. We develop a model to estimate margining cashflows that is based on the clearing framework of the European Commodity Clearing AG (ECC), on stochastic...

The purpose of the transparency on the risk profile of non-equity investment products is to allow investors to take informed investment decisions. In an international framework characterized by an increasing globalization of markets and a growing integration of banking, asset management and...

• This paper broadens the perspective on sustainable distributions by expanding into three dimensions, introducing transitory states as well as all those states existing simultaneously.• Withdrawal rates alone do not tell a complete sustainable distribution story; withdrawal rates are time...

Although financial literature presents ambiguous evidence about the predicting value of fundamental and technical variables in stock markets, we find that evolving trading models based on fundamental variables substantially reduce the risk of investing in stocks. This reduction is so generous...

A model of building and using synthetic straddles has been developed; it enables an investor to significantly reduce its individual equity risk related to its own basic assets, i.e. shares. The Black-Scholes model, which is regarded as a classical model, cannot be used for this purpose for the...

The paper introduces a new, moment-based representation of version independent, coherent risk functionals for distributions with a finite second moment. The representation is based on L-moments. We analyze the second- and the third-order approximations and provide a method for constructing...