Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

This paper deals with the estimation of portfolio returns and Value at Risk (VaR), by using a class of Gaussian mixture …

We compare Value at Risk (VaR) and Expected Shortfall (ES) following a Stochastic Dominance (SD) approach frequently …) recommends bank risk managers to shift the current quantitative risk metrics system, based on Value-at-Risk (VaR), to Expected … Shortfall (ES). “Welfare costs” of such a reform in terms of capital requirements and penalties are a central concern for risk …

-C-MGARCH) model of Fülle and Herwartz (2021). As an empirical illustration we take the perspective of a risk averse agent and employ … risk forecasting for daily returns over 10 years for heterogeneous market environments including, for example, the COVID-19 …

This study applies Extreme Value Theory in calculating Value-at-Risk (VaR) of portfolios consisting of foreign exchange …-tailed. Moreover, risk management concerns itself with the distribution of the tails, or events in the extremes of the distribution …

This paper discusses the value-at-risk (VaR) concept and assesses the financial adequacy of the price probability …

This paper considers the expected utility portfolio optimization problem with initial-time and intermediate-time Value-at-Risk … portfolio. We find that risk management with intermediate-time risk constraints is prudent in hedging "bad" intermediate market … states and performs significantly better than the one terminal-wealth risk constraint solutions under the relative loss ratio …

Recent Value-at-Risk (VaR) models based on historical simulation often incorporate approaches where the volatility of …