orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … simulation context.<BR> This paper tries to fill this gap by investigating these VaR concepts in a general distribution …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

higher moments or assumes them constant. In this paper, we propose a new simple approach to estimation of a portfolio VaR. We …

This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can …

data with assets as risk drivers; and a more complex Liability-Driven Investing (LDI) simulation example with factors as …

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This … of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the correlation … computationally cheap and extremely accurate - most notably in the tail, which is crucial for risk calculations. A simulation study …