Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by … adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial … probability level p\in[0,1]. Through the choice of the benchmark risk profile g one can tailor the risk assessment to the specific …

volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of Value-at-Risk … primary focus on Bitcoin and Ethereum, our research seeks to accentuate the resilience of VaR methodology as a paramount risk … endorsement of the Normal Inverse Gaussian distribution as a potent model for risk measurement, particularly in the domain of high …