The purpose of this research is the realistic forecast of volatility in frame of a risk parity class of strategies. The … custom rescaling of volatility – naïve risk parity - doesn't consider market inefficiencies which correspond to cyclical … as the instrument for realistic estimation of risk. The proposed model allows for modifying a rule for volatility …

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution …-and-h distributed residuals to three European stock indices and provide results of out-of-sample Value-at-Risk backtests. We find that …

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …

-cleaned correlations for long term risk (e.g. counterparty risk). SSA is applied to time series to smooth them in a robust manner. The SSA … macroscopic time scales. Stable correlations are desirable to suppress noise from short time scales that make risk measures … unstable. If correlations move around, risk measures also move around, making business decisions difficult. SSA …