We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics … the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying … risk management, financial engineering (such as bitcoin derivatives) - both from an investor's as well as from a regulator …

established by Ignatov and Kaishev (2000, 2004) and Ignatov et al. (2001) for a risk model allowing dependence. The numerical … risk model has intensified in recent years. More general ruin probability models assuming dependence between claim amounts … assumptions, is of utmost importance within the Solvency II framework of internal insolvency-risk model building …

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the … allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an … application to financial data. -- Distribution functions ; dimension reduction ; risk management ; statistical models …

geographical diversification have been subjected to test. The validation of the said theory has been made via hypothesis testing in …The paper is an empirical research work wherein the principle of Modern Portfolio Theory along with aspects of … diversifying risk …

's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is … analytical results that show how the sparsity of the constrained portfolio depends on the coefficient of relative risk aversion …>-norm for each level of relative risk aversion …

. Based on these active risk factors, an adjustment for intertemporal dependency is made. The authors extend TEDAS methodology … to three gestalts differing in allocation weights’ determination: a Cornish-Fisher Value-at-Risk minimization, Markowitz … diversification rule and naive equal weighting. TEDAS strategies significantly outperform other widely used allocation approaches on …

In this work, we have found a risk model that improves the performance of Risk Targeting. Risk Targeting in portfolio … construction is implemented to improve capital utilization in growing markets and systematically step away from risk scenarios …. However, the performance of risk targeting varies with different implementations of risk estimation. Risk Targeting using …

This paper presents a quantitative model of financial transactions between economic agents on economic space. Risk …