When correlations between assets turn positive, multi-asset portfolios can become riskier than single assets. This article presents the estimation of tail risk at very high quantiles using a semiparametric estimator which is particularly suitable for portfolios with a large number of assets. The...

Risk management critically depends on the assumptions made about the distribution of stock returns. This paper applies extreme value methods to investigate the limiting distribution of the extreme returns of the NIKKEI225, FTSE100 and S&P500 indices as well as the indices of some of largest...

Primary concerns for traders since the deregulation of electricity markets include both the selection of optimal trading limits and risk quantification. These concerns have come about as a consequence of the unique stylized attributes of electricity spot prices, such as the clustering of...