The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …

can grasp concepts from quantitative risk management. To this end, we enter a scholarly discussion with ChatGPT in the … courses on quantitative risk management, and address risk in general, risk measures, time series, extremes and dependence. As … a result, the non-technical aspects of risk (such as explanations of various types of financial risk, the driving …

; Staatsanleihen; Strom Forwards; stylized facts von Finanzzeitreihen; Value at Risk; Verteilung von Anleiherenditen … Gaussian distribution (NIG distribution); realized moments; stylized facts of financial time series; value at risk … jeweils eine Value at Risk-Berechnung. Im ersten Kapitel wird die Verteilung von Renditen europäischer Staatsanleihen …

allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an … application to financial data. -- Distribution functions ; dimension reduction ; risk management ; statistical models …