portfolios as a measure of risk and, therefore, Carhart's alpha is its sensitivity to the definition of the market portfolio. In …

investigate risk/return characteristics of fundamentally-weighted and market-cap-weighted indexes and employ various risk …-adjustment approaches to ensure that return differences are not driven by risk. Based on stocks in the DJ Stoxx 600 index from July 1993 to … April 2007, we show that fundamentally-weighted indexes achieve higher risk-adjusted returns than market …

We describe characteristics of various risk measures (Value-at-Risk, Expected Shortfall, etc.) that are used to analyze … and quantify the tail risk exposure, and discuss their relative strengths and weaknesses. Emphasis is placed on presenting … and comparing methodologies to compute and backtest estimates for these risk measures, from a practical perspective. We …

small sample sizes, which is the case for most annual macro data. Even if we try to correct this bias using the bootstrap … bias reduction method, the bootstrap bias-reduction method performs well in decreasing the bias of the coefficient … SC is better than bootstrap model-selection criteria, such as the Shaos criterion, because the SC does not require …

In order to provide reliable Value-at-Risk (VaR) and Expected Shortfall (ES) forecasts, this paper attempts to …, commodities, foreign exchange rates) in order to provide risk managers and financial institutions with information relating the … revised 2013 version of Basel III, the GARCH-skT specification provides accurate forecasts of the risk measures for stock …

In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk … volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … referred gains range from 4 to around 150 basis points of minimum capital risk requirements. This research documents the …

-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the … ; Archimedean copula ; adaptive estimation …