We introduce the Budapest Liquidity Measure (BLM) and one of its possible applications in the field of risk management. BLM is a weighted spread measure, it represents the implicit costs of trading, which arise from the fact that actual trading is not executed at the mid-price. Traditional VaR...

Multi-asset multi-factor portfolio allocation is typically centred around a risk-based allocation paradigm, often striving for maintaining equal volatility risk budgets. Given that the common factor ingredients can be highly skewed, we specifically incorporate the notion of tail risk management...

Ackert and Deaves (2010) said that most people have tendency to being risk averse, but with appropriate amount of compensation, people may take more risk. Understanding those circumstances, this research trying to figure risk involved in a Mean-Variance Model. This model has taken consideration...

We exploit the US Survey of Consumer Finances from 1998 to 2010 to study households' portfolio risk. We compare alternative measures of ex-ante risk, based on a financial portfolio including deposits, bonds and stocks, or a broader portfolio also including real estate, business wealth and...

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...

The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk measures, namely Value-at-Risk (VaR) and...

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...

Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates...