In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk … (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non …-parametric kernel-smoothed interior and the parametric Pareto upper tail and (iii) Value-at-Risk (VaR) to quantify risk measure. The …

such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from …

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …