. This risky situation is unlike default risk whose maximum values are limited by the amount of credit granted. For example …

This paper develops a high-frequency risk measure, the Liquidity-adjusted Intraday Value at Risk (LIVaR). Our objective … the dynamics of frictionless and actual returns, and to quantify the risk related to the liquidity premium. From a … practical perspective, our model can be used not only to identify the impact of ex-ante liquidity risk on total risk, but also …

Risk classification refers to the use of observable characteristics by insurers to group individuals with similar … expected claims, to compute the corresponding premiums, and thereby to reduce asymmetric information. Permitting risk … undesirable equity consequences and undermine the implicit insurance against reclassification risk which legislated restrictions …

) can model the conditional forecasting of VaR and CVaR to efficiently cover market risk at regulatory levels of 1% and 2 … regulation for market-risk …

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 …