Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can … recent crises. Overestimated risk, on the other side, may have negative effects on a company's capital requirements …. Companies as well as national authorities thus have a strong interest in developing market risk models that correctly quantify …

applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to …-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book …

forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of …