An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate … covariance estimation and the jump robustness of the estimator are illustrated in a simulation study. In an application to the …

situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk … ; Naive diversification ; Out-ofsample performance ; Risk function ; Shrinkage estimation …In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are …

Tail risk refers to the possibility that a rare event would adversely affect the value of a portfolio in a significant … manner. It became much more relevant due to recent periods of strong market turbulence.We describe how to quantify such risk …, which tail risk protection strategies were considered in the literature, their effectiveness and associated costs. We also …

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 … [increasingly] Bayesian—continues to be a key methodological foundation of risk management and regulation-related risk modeling …

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 and [increasingly] Bayesian – continues to be a key methodological foundation of risk management and regulation related …