theory, which provide a statistical justification for the emergence of power laws as limiting behavior for extreme … fluctuations. The remarkable generality of the theory allows to abstract from the details of the system under investigation, and … therefore allows its application in many diverse fields. Moreover, this theory offers new powerful techniques for the estimation …

We consider the skewed-T distribution defined as a location-scale normal mixture. Analytical formulas for its value-at-risk … and average value-at-risk are derived. High-accuracy approximations are developed and numerically tested …

Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This … is done in order to obtain a 'liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The …

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 …