Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically multivariate framework. For the fi rst time in the literature, it takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on...

An important way to maintain human cooperation is punishing defection. However, since punishment is costly, how can it arise and evolve given that individuals who contribute but do not punish fare better than the punishers? This leads to a violation of causality, since the evolution of...

We propose a novel routing algorithm to optimize traffic performance on complex networks. It combines static structural properties and dynamic traffic conditions together and therefore can balance the traffic between hubs and peripheral nodes more effectively. Simulation results show that the...