We analyze the performance of RiskMetrics, a widely used methodology for measuring market risk. Based on the assumption of normally distributed returns, the RiskMetrics model completely ignores the presence of fat tails in the distribution function, which is an important feature of financial...

Correlations of returns on various assets play a central role in financial theory and also in many practical applications. From a theoretical point of view, the main interest lies in the proper description of the structure and dynamics of correlations, whereas for the practitioner the emphasis...

In a recent paper, using data from Forbes Global 2000, we have observed that the upper tail of the firm size distribution (by assets) falls off much faster than a Pareto distribution. The missing mass was suggested as an indicator of the size of the Shadow Banking (SB) sector. This short note...