We investigate a new family of distributionally robust optimization problem under marginal and copula ambiguity with applications to portfolio optimization problems. The proposed model considers the ambiguity set of portfolio return in which the marginal distributions and their copula are close...

This paper defines asymptotic marginal expected shortfall (AMES) for banks within a financial system and provides corresponding estimation method based on multivariate extreme value theory. The estimation method does not assume a specific dependence structure among bank equity returns. Both...

Estimating the market risk is conditioned by the fat tail of the distribution of returns. But the tail index depends on the threshold of this distribution fat tail. We propose a methodology based on the decomposition of the series into positive outliers, Gaussian central part and negative...

This paper studies dynamic programming for quantile preference models, in which the agent maximizes the stream of the future τ-quantile utilities, for τ ∈ (0,1). We suggest numerical methods, based on value function iterations, for solving the quantile recursive dynamic programming, and...

How to detect different tail behaviors of two risk random variables with the same mean is an important task. In this paper, motivated by Burzoni et al. (2022), a class of convex risk measures, called as adjusted higher-order Expected Shortfall (ES), is introduced and studied. The adjusted risk...

The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task. This paper provides an empirical study on various methods of the optimal tail selection in...