In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP …) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify … the pro-cyclicality of the current way financial institutions measure their risk. Analysing 11 stock indices, we show that …

Robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial … importance when making well-informed risk management decisions. In this paper, we quantify for any given distortion risk measure … application to model risk assessment …

risk management, trading and hedging activities as well as in the pricing of equity derivatives …

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination … currencies. In this framework, we focus on the risk spillovers across equities within the same sector (sector spillover), and …

We document a substantial increase in downside risk to US economic growth over the last 30 years. By modelling secular … risk provided by current financial conditions …

returns. For multivariate density and portfolio risk forecasting, a drawback of these models is the underlying assumption of …. An extensive empirical study confirms the COMFORT model’s superiority in terms of multivariate density and Value-at-Risk …