standard sample sizes. In an application to international government bonds, we detect a high tail{risk and low return situation … during the last decade which can essentially be attributed to increased higher-order tail risk. We also illustrate the … empirical consequences from ignoring higher-dimensional tail risk. …

investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …

For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these … how many periods should be available for assessing credit risk taking account of estimation uncertainty if bootstrapping … available for similar results. -- confidence region ; credit portfolio risk ; estimation uncertainty ; bootstrapping …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … EV models, especially in the developed markets. -- value at risk ; expected shortfall ; hybrid historical simulation …