This paper proposes a unified state-space formulation for parameter estimation of exponential--affine term structure models. The proposed method uses an approximate linear Kalman filter which only requires specifying the conditional mean and variance of the system in an approximate sense. The...

An option contract now commonly encountered is the Asian quanto-basket option. This contract is useful for risk managers willing to participate to the return of an industrial sector with an international exposure without the foreign exchange risk exposition. Although the price of such contracts...

The Gram-Charlier and Cornish-Fisher expansions are tools often used to compute value at risk (VaR) in the context of skewed and leptokurtic return distributions. These approximations use the first four moments of the unknown target distribution to compute approximate distribution and quantile...

Is univariate or multivariate modelling more effective when forecasting the market risk of stock portfolios? We examine this question in the context of forecasting the one-week-ahead Expected Shortfall of a portfolio invested in the Fama-French and momentum factors. Apply ingextensive tests and...