weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of … exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility … an example we use the exchange rate between Euro and Polish zloty to estimate the Value-at-Risk. We show the calculation …

system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an …

Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of … returns. We show that the pricing bounds obtained from the Value-at-Risk admit a non-smooth behavior under parameter changes … missing convexity of the Value-at-Risk as main reason for this behavior. Due to the strong connection between good-deal bounds …

region under study and introducing Value-at-Risk (VaR) and Expected Shortfall (ES) as appropriate measures for the strike …

largest quantile (worst value-at-risk) of the sum of the components of a random vector with specified marginal distributions … and reliable computational solution to the problem of computing worst value-at-risk. Besides a running example, an example … based on real-life data is considered. Bootstrap confidence intervals for the worst value-at-risk as well as a basic worst …

value-at-risk and expected shortfall, but the approach also works for other risk measures. …

intersection of linear constraints, this class of allocations covers, for example, conditional Value-at-Risk (CoVaR), conditional …