Is univariate or multivariate modelling more effective when forecasting the market risk of stock portfolios? We examine … are more parsimonious and simpler to implement than multivariatemodels, can be used to forecast the downsize risk of …

We model the new quantitative aspects of market risk management for banks that Basel established in 2016 and came into … effect in January 2019. Market risk is measured by Conditional Value at Risk (CVaR) or Expected Shortfall at a confidence …

Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility … functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of … conditional risk aversion to orders of conditional dependent risk aversion. We show that first-order conditional dependent risk …