This paper investigates a stock-bond portfolio s tail risks such as value-at-risk (VaR) and expected shortfall (ES) and the optimum asset allocation, and the way in which these measures have been a¤ected by the recent global financial crisis (GFC). The semiparametric method is used to estimate...

Following the recent global financial crisis, many banks and other businesses in the industrialized countries incurred notably heavy losses. As a consequence, reliable estimation of operational risk (OR) is becoming increasingly important to all internationally active banks and other financial...