. The author wonders whether contagion risk among these cryptocurrencies happens or not in the event of crashing. We also …-plots. It also means the existence of contagion risk among these cryptocurrencies. The three methodologies namely Kendall …

measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure … reveals that violations of key assumptions of the well-known Asymptotic Single-Risk Factor (ASRF) model are virtually … inconsequential. By contrast, flaws in the calibrated interdependence of credit risk across exposures, which are driven by plausible …

This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets … determine the persistency of these risk measures. We find that for all G7 countries considered in the paper persistency in …

theory based models provide a reasonable degree of safety while widespread VaR models do not provide adequate risk coverage …The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one …-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional …